A verification model to capture option risk and hedging based on a modified underlying beta
Chuan-He Shen and Yang Liu
| Year of publication: |
2021
|
|---|---|
| Authors: | Shen, Chuan-He ; Liu, Yang |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 15.2021, 1, p. 49-68
|
| Subject: | option market | volatility mining | hedging | underlying beta | verification model | Hedging | Volatilität | Volatility | Betafaktor | Beta risk | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Risiko | Risk | CAPM | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JRMV.2020.233 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014540158