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Arbitrage opportunities and their implications to derivative hedging

✍ Scribed by Stephanos Panayides


Book ID
104078000
Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
169 KB
Volume
361
Category
Article
ISSN
0378-4371

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Derivative pricing model and time-series
✍ Henry L. Bryant; Michael S. Haigh πŸ“‚ Article πŸ“… 2005 πŸ› John Wiley and Sons 🌐 English βš– 214 KB

This research compares derivative pricing model and statistical time-series approaches to hedging. The finance literature stresses the former approach, while the applied economics literature has focused on the latter. We compare the out-of-sample hedging effectiveness of the two approaches when hedg