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Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True Value-at-Risk and Option Based Hedgi...

Izmailov, Alexander - 2015

reliably characterize any random variable (in our case derivative) with just its first moment. • This lack of attention to … moments and “greeks”. The lack of focus of practitioners on such probabilities invites the next crisis situation. • Hedging of …

Persistent link: https://www.econbiz.de/10013032725

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

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Hedging surprises, jumps, and model misspecification : a risk management perspective on hedging S&P 500 options

Kaeck, Andreas - In: Review of finance : journal of the European Finance … 17 (2013) 4, pp. 1535-1569

Persistent link: https://www.econbiz.de/10009776228

Option valuation under no-arbitrage constraints with neural networks

Cao, Yi; Liu, Xiaoquan; Zhai, Jia - In: European journal of operational research : EJOR 293 (2021) 1, pp. 361-374

Persistent link: https://www.econbiz.de/10012502485

A note on options and bubbles under the CEV model : implications for pricing and hedging

Dias, José Carlos; Nunes, Joaõ Pedro Vidal; Cruz, Aricson - In: Review of derivatives research 23 (2020) 3, pp. 249-272

Persistent link: https://www.econbiz.de/10012303226

VIX derivatives, hedging and vol-of-vol risk

Kaeck, Andreas; Seeger, Norman - In: European journal of operational research : EJOR 283 (2020) 2, pp. 767-782

Persistent link: https://www.econbiz.de/10012294919

Robust hedging performance and volatility risk in option markets : application to Standard and Poor's 500 and Taiwan index options

Han, Chuan-Hsiang; Chang, Chien-Hung; Kuo, Chii-Shyan; … - In: International review of economics & finance : IREF 40 (2015), pp. 160-173

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Using VIX futures to hedge forward implied volatility risk

Lin, Yueh-neng; Lin, Anchor Y. - In: International review of economics & finance : IREF 43 (2016), pp. 88-106

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Pricing and hedging competitiveness of the tree option pricing models : evidence from India

Singh, Vipul Kumar - In: The journal of asset management 17 (2016) 6, pp. 453-475

Persistent link: https://www.econbiz.de/10011648199

On profitability of volatility trading on S&P 500 equity index options : the role of trading frictions

Hong, Hui; Sung, Hao-Chang; Yang, Jingjing - In: International review of economics & finance : IREF 55 (2018), pp. 295-307

Persistent link: https://www.econbiz.de/10012033481