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Adaptive risk hedging for call options under Cox-Ingersoll-Ross interest rates
Ghorbani, Niloofar; Korzeniowski, Andrzej - In: Inventi impact: microfinance & banking (2021) 2, pp. 83-90
Persistent link: https://www.econbiz.de/10012816013
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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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Hedging cryptocurrency options
Matic, Jovanka; Packham, Natalie; Härdle, Wolfgang - 2021
The cryptocurrency (CC) market is volatile, non-stationary and non-continuous. This poses unique challenges for pricing and hedging CC options. We study the hedge behaviour and effectiveness for a wide range of models. First, we calibrate market data to SVI-implied volatility surfaces, which in...
Persistent link: https://www.econbiz.de/10012666345
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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
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Implied Sharpe ratios of portfolios with options : application to Nikkei futures and listed options
Akuzawa, Toshinao; Nishiyama, Yoshihiko - In: The North American journal of economics and finance : a … 25 (2013), pp. 335-357
Persistent link: https://www.econbiz.de/10009779207
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Jump, diffusion, and long-term volatility risks with incremental information in VIX assets
Chen, Sonnan; Gu, Yuchi - In: The journal of derivatives : JOD 28 (2021) 3, pp. 60-96
Persistent link: https://www.econbiz.de/10012486031
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Can the improved CMBO strategies beat the CMBO index?
Liu, Wei-Han; Chang, Jow-Ran - In: The journal of derivatives : JOD 28 (2021) 3, pp. 163-183
Persistent link: https://www.econbiz.de/10012486036
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Quantile hedging in a defaultable market with life insurance applications
Glazyrina, Anna; Melʹnikov, Aleksandr V. - In: Scandinavian actuarial journal 2021 (2021) 3, pp. 248-265
Persistent link: https://www.econbiz.de/10012500262
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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
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Efficient estimation of sensitivities for counterparty credit risk with the finite difference Monte Carlo method
Graaf, Cornelis S. L. de; Kandhai, Drona; Sloot, Peter M. A. - In: The journal of computational finance 21 (2017) 1, pp. 83-113
Persistent link: https://www.econbiz.de/10011691615