Simple robust hedging with nearby contracts

Liuren Wu, Jingyi Zhu

Year of publication:	2017
Authors:	Wu, Liuren ; Zhu, Jingyi
Published in:	Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 15.2017, 1, p. 1-35
Subject:	characteristics matching \| hedging \| jumps \| Monte Carlo \| payoff matching \| risk sensitivity matching \| strike-maturity triangle \| stochastic volatility \| S&P 500 index options \| Taylor expansion \| Hedging \| Volatilität \| Volatility \| Matching \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Optionspreistheorie \| Option pricing theory \| Stochastischer Prozess \| Stochastic process \| Optionsgeschäft \| Option trading \| Index-Futures \| Index futures \| Derivat \| Derivative \| Risiko \| Risk

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1093/jjfinec/nbw007 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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