Performance measurement for option portfolios in a stochastic volatility framework
Year of publication: |
2022
|
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Authors: | Baule, Rainer ; Entrop, Oliver ; Wessels, Sebastian |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 3, p. 519-539
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Subject: | Heston model | Option portfolios | Option-based factors | Performance measurement | Stochastic volatility | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection |
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