Does hedging with implied volatility factors improve the hedging efficiency of barrier options?
Szymon Borak; Matthias R. Fengler; Wolfgang K. Härdle
| 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 | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003848886