Robust hedging performance and volatility risk in option markets : application to Standard and Poor's 500 and Taiwan index options
Chuan-Hsiang Han, Chien-Hung Chang, Chii-Shyan Kuo, Shih-Ti Yu
| Year of publication: |
November 2015
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|---|---|
| Authors: | Han, Chuan-Hsiang ; Chang, Chien-Hung ; Kuo, Chii-Shyan ; Yu, Shihti |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 40.2015, p. 160-173
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| Subject: | Option hedging strategies | Volatility estimation | Fourier transform method | Moment estimation | Volatilität | Volatility | Hedging | Taiwan | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Index-Futures | Index futures | Derivat | Derivative | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2015.02.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011573571