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Hedging volatility risk

โœ Scribed by Menachem Brenner; Ernest Y. Ou; Jin E. Zhang


Book ID
116614712
Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
191 KB
Volume
30
Category
Article
ISSN
0378-4266

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๐Ÿ“œ SIMILAR VOLUMES


Volatility-invariant hedging
โœ Sherrill Shaffer ๐Ÿ“‚ Article ๐Ÿ“… 1989 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 171 KB
Long-memory volatility in derivative hed
โœ Abby Tan ๐Ÿ“‚ Article ๐Ÿ“… 2006 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 158 KB

The aim of this work is to take into account the effects of long memory in volatility on derivative hedging. This idea is an extension of the work by Fedotov and Tan [Stochastic long memory process in option pricing, Int. J. Theor. Appl. Finance 8 (2005) 381-392] where they incorporate long-memory s