Does model misspecification matter for hedging? : a computational finance experiment based approach
Youfa Sun, George Yuan, Shimin Guo, Jianguo Liu, Steven Yuan
| Year of publication: |
2015
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|---|---|
| Authors: | Sun, Youfa ; Yuan, George ; Guo, Shimin ; Liu, Jianguo ; Yuan, Steven |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 2.2015, 3, p. 1-21
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| Subject: | Option pricing | double Heston model | COS method | delta hedging | dynamic hedging | implied volatility surface | Hedging | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading | Modellierung | Scientific modelling | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Derivat | Derivative |
| 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/10011403136