Does hedging with implied volatility factors improve the hedging efficiency of barrier options?
Year of publication: |
2009
|
---|---|
Authors: | Borak, Szymon ; Fengler, Matthias R. ; Härdle, Wolfgang |
Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 3.2009/10, 1, p. 73-92
|
Subject: | Hedging | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
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