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On the pricing and hedging of volatility derivatives

✍ Scribed by Howison, Sam; Rafailidis, Avraam; Rasmussen, Henrik


Book ID
120077433
Publisher
Taylor and Francis Group
Year
2004
Tongue
English
Weight
497 KB
Volume
11
Category
Article
ISSN
1350-486X

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Volatility options: Hedging effectivenes
✍ Dimitris Psychoyios; George Skiadopoulos πŸ“‚ Article πŸ“… 2005 πŸ› John Wiley and Sons 🌐 English βš– 190 KB πŸ‘ 1 views

## Abstract Motivated by the growing literature on volatility options and their imminent introduction in major exchanges, this article addresses two issues. First, the question of whether volatility options are superior to standard options in terms of hedging volatility risk is examined. Second, th