Understanding delta-hedged option returns in stochastic volatility environments
Year of publication: |
2015
|
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Authors: | Sasaki, Hiroshi |
Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 22.2015, 2, p. 151-184
|
Subject: | Delta-hedged option returns | Stochastic volatility | Parameter estimation risk | Volatility risk premium | Currency option | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Risikoprämie | Risk premium | Optionsgeschäft | Option trading | Kapitaleinkommen | Capital income | Devisenoption |
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