✦ LIBER ✦

Pricing methods and hedging strategies for volatility derivatives

✍ Scribed by H. Windcliff; P.A. Forsyth; K.R. Vetzal

Book ID: 116614658
Publisher: Elsevier Science
Year: 2006
Tongue: English
Weight: 274 KB
Volume: 30
Category: Article
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2005.04.025

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Volatility options: Hedging effectivenes

Volatility options: Hedging effectiveness, pricing, and model error

✍ Dimitris Psychoyios; George Skiadopoulos 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 190 KB 👁 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

Pricing and hedging of credit derivative

Pricing and hedging of credit derivatives via

✍ Rüdiger Frey; Thorsten Schmidt 📂 Article 📅 2011 🏛 Springer-Verlag 🌐 English ⚖ 957 KB

Pricing and Hedging Credit Derivatives w

Pricing and Hedging Credit Derivatives with Copulas

✍ Umberto Cherubini; Elisa Luciano 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 428 KB

Pricing and hedging volatility smile und

Pricing and hedging volatility smile under multifactor interest rate models

✍ I.-Doun Kuo 📂 Article 📅 2010 🏛 Springer US 🌐 English ⚖ 866 KB

Precious metals–exchange rate volatility

Precious metals–exchange rate volatility transmissions and hedging strategies

✍ Shawkat M. Hammoudeh; Yuan Yuan; Michael McAleer; Mark A. Thompson 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 707 KB

Option pricing and hedging under a stoch

Option pricing and hedging under a stochastic volatility Lévy process model

✍ Young Shin Kim; Frank J. Fabozzi; Zuodong Lin; Svetlozar T. Rachev 📂 Article 📅 2011 🏛 Springer US 🌐 English ⚖ 211 KB