Hedging European derivatives with the polynomial variance swap under uncertain volatility environments
Akihiko Takahashi, Yukihiro Tsuzuki and Akira Yamazaki
| Year of publication: |
2011
|
|---|---|
| Authors: | Takahashi, Akihiko ; Tsuzuki, Yukihiro ; Yamazaki, Akira |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 14.2011, 4, p. 485-505
|
| Subject: | European derivatives | Black-Scholes delta hedging | uncertain volatility risk | polynomial variance swap | Hedging | Volatilität | Volatility | Derivat | Derivative | Swap | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Risiko | Risk | Optionsgeschäft | Option trading | Europa | Europe |
| 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://ebvufind01.dmz1.zbw.eu/10009269373