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Less expensive pricing and hedging of long-dated equity index options when interest rates are stochastic
Fergusson, Kevin; Platen, Eckhard - 2015
Persistent link: https://www.econbiz.de/10011344299
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Lévy betas : static hedging with index futures
Wong, Hoi Ying; Cheung, Edwin Kwan Hung; Wong, Shiu Fung - In: The journal of futures markets 32 (2012) 11, pp. 1034-1059
Persistent link: https://www.econbiz.de/10009697814
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Commodity index trading and hedging costs
Brunetti, Celso; Reiffen, David A. - 2011
Persistent link: https://www.econbiz.de/10009406419
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Static hedging of standard options
Carr, Peter; Wu, Liuren - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 3-46
Persistent link: https://www.econbiz.de/10010233614
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Hedging with stock index options : a mean-extended Gini approach
Shalit, Haim; Greenberg, Doron - In: Journal of mathematical finance 3 (2013) 1, pp. 119-129
Persistent link: https://www.econbiz.de/10010240815
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Manipulation prevention and hedging effectiveness : optimal settlement window design for CSI 300 stock index futures
Jun, Song; Luo, Rui - In: Emerging markets finance & trade : a journal of the … 49 (2013) 6, pp. 52-66
Persistent link: https://www.econbiz.de/10010346302
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Hedging performance of Chinese stock index futures : an empirical analysis using wavelet analysis and flexible bivariate GARCH approaches
Hou, Yang; Li, Steven - In: Pacific-Basin finance journal 24 (2013), pp. 109-131
Persistent link: https://www.econbiz.de/10010346788
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Nonlinear dynamics of realized minimum-variance hedge ratios : a two-regime self-exciting threshold autoregressive approach
Lai, Yu-Sheng - In: The empirical economics letters : a monthly … 14 (2015) 9, pp. 899-905
Persistent link: https://www.econbiz.de/10011459137
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Jump-dependent model for optimal index futures hedging in five major Asian stock markets
Lai, Yi-Hao; Wang, Yi-Chiuan - In: Emerging markets finance & trade : a journal of the … 52 (2016) 4/6, pp. 786-796
Persistent link: https://www.econbiz.de/10011563109
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Parametric mortality indexes : from index construction to hedging strategies
Tan, Chong It; Li, Jackie; Li, Johnny Siu-Hang; … - In: Insurance / Mathematics & economics 59 (2014), pp. 285-299
Persistent link: https://www.econbiz.de/10010469993