Is the nonlinear hedge of options more effective? : evidence from the SSE 50 ETF options in China
Xiao-Jian Yu, Zi-Ling Wang, Wei-Lin Xiao
| 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 | China | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Regressionsanalyse | Regression analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2019.01.013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012665985