Performance measurement for option portfolios in a stochastic volatility framework
Rainer Baule, Oliver Entrop and Sebastian Wessels
| Year of publication: |
2022
|
|---|---|
| Authors: | Baule, Rainer ; Entrop, Oliver ; Wessels, Sebastian |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 3, p. 519-539
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| Subject: | Heston model | Option portfolios | Option-based factors | Performance measurement | Stochastic volatility | Volatilität | Volatility | Performance-Messung | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2021.1985163 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013167776