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Option hedging using empirical pricing kernels

Rosenberg, Joshua V.; Engle, Robert F. - 1997

Persistent link: https://www.econbiz.de/10000970980

Option Hedging Using Empirical Pricing Kernels

Rosenberg, Joshua V. - 1997

This paper develops a method for option hedging which is consistent with time-varying preferences and probabilities … probability, while probabilities are derived from an estimated stochastic volatility model of the form GARCH components with … the spread between implied and objective volatilities. Hedging results reveal that typical hedging techniques for out …

Persistent link: https://www.econbiz.de/10012472589

Are real options "real"? : isolating uncertainty from risk in real options analysis

So, Leh-Chyan - In: Annals of financial economics 9 (2014) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10010489151

Volatility analysis of Shanghai composite index and financial crises

Sheraz, Muhammad; Breda, Vasile - 2016

Persistent link: https://www.econbiz.de/10013164574

A study of Black-Scholes model’s applicability in Indian capital markets

Srivastava, Anubha; Shastri, Manjula - In: Paradigm : the journal of Institute of Management Technology 24 (2020) 1, pp. 73-92

Persistent link: https://www.econbiz.de/10012229650

A study of relevance of Black-Scholes model on option prices of Indian stock market

Srivastava, Anubha; Shastri, Manjula - In: International journal of governance and financial … 1 (2018) 1, pp. 82-104

Persistent link: https://www.econbiz.de/10012253558

The adequacy of volatility for the elaboration of technology valuation based on real options

Sung, Tae-Eung; Park, Hyun-Woo - In: Technology analysis & strategic management 31 (2019) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10012208118

Drawbacks and limitations of Black-Scholes model for options pricing

Janková, Zuzana - In: Journal of financial studies & research : JFSR 2018 (2018), pp. 1-7

Persistent link: https://www.econbiz.de/10011977593

An empirical testing of Black-Scholes option pricing model : a study of option moneyness (at-the-money)

Rinky; Singh, Shakti - In: International Journal of Financial Markets and … 9 (2023) 3, pp. 208-229

Persistent link: https://www.econbiz.de/10015064444

Volatilitätsschwankungen und DAX-Optionen : Auswirkungen auf Bewertung und Risikomanagement

Bolek, Adam - 1999

Persistent link: https://www.econbiz.de/10000682737

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