Is the nonlinear hedge of options more effective? : evidence from the SSE 50 ETF options in China
Year of publication: |
2020
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Authors: | Yu, Xiao-Jian ; Wang, Zi-Ling ; Xiao, Wei-Lin |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 54.2020, p. 1-9
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Subject: | Delta hedging | Nonlinear hedging strategy | Regression | SSE 50 ETF options | Hedging | Indexderivat | Index derivative | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | China | Derivat | Derivative | Portfolio-Management | Portfolio selection | Nichtlineare Regression | Nonlinear regression | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model |
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