Improving futures hedging performance using option information : evidence from the S&P 500 index
Yujuan Bai, Zhiyuan Pan, Li Liu
| Year of publication: |
2019
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|---|---|
| Authors: | Bai, Yujuan ; Pan, Zhiyuan ; Liu, Li |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 28.2019, p. 112-117
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| Subject: | Volatility | Hedge ratio | Hedging performance | Option-implied information | Hedging | Volatilität | Optionspreistheorie | Option pricing theory | Index-Futures | Index futures | Schätzung | Estimation | Optionsgeschäft | Option trading | Derivat | Derivative | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2018.04.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012388029