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Strategic asset valuation and higher stochastic moments : an adjusted black-scholes model
Milanesi, Gastón; Pesce, Gabriela; El Alabi, Emilio - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 95-106
Persistent link: https://www.econbiz.de/10011392906
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Delta hedging with the smile
Vähämaa, Sami - In: Essays on option-implied information, (pp. 47-72). 2004
Persistent link: https://www.econbiz.de/10002466449
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Price risk management by using dynamic hedging based on advanced Black-Scholes model
Lu, Peili; Shen, Jiaqi; Zhao, Liheng; Qin, Haoyang; … - In: International journal of financial engineering 7 (2020) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10012602709
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Is the nonlinear hedge of options more effective? : evidence from the SSE 50 ETF options in China
Yu, Xiao-Jian; Wang, Zi-Ling; Xiao, Wei-Lin - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-9
Persistent link: https://www.econbiz.de/10012665985
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On volatility smile and an investment strategy with out-of-the-money calls
Talponen, Jarno - In: Mathematics and financial economics 10 (2016) 2, pp. 113-125
Persistent link: https://www.econbiz.de/10011485897
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The Buffett critique : volatility and long-dated options
Gupta, Neeraj J.; Kurt, Mark; White, Reilly - In: Journal of economics and finance 40 (2016) 3, pp. 524-537
Persistent link: https://www.econbiz.de/10011659004
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A stochastic programming model for dynamic portfolio management with financial derivatives
Barro, Diana; Consigli, Giorgio; Varun, Vivek - In: Journal of banking & finance 140 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013463145
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Financial market disruption and investor awareness : the case of implied volatility skew
Siddiqi, Hammad - In: Quantitative finance and economics 6 (2022) 3, pp. 505-517
Persistent link: https://www.econbiz.de/10013499509
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Computational finance
Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4
use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use … of numerical methods for pricing, hedging, and risk management of financial instruments. …
Persistent link: https://www.econbiz.de/10012309311
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Models of option pricing
Shao, Jia; Joseph, Nathan Lael; El-Masry, Ahmed A. - 2024
Persistent link: https://www.econbiz.de/10015045544