Matic, Jovanka Lili; Packham, Natalie; Härdle, … - 2021
, this poses a unique opportunity to study risk management, especially the hedging of options, in a turbulent market. We … processes. First, market data is calibrated to SVI-implied volatility surfaces to price options. To cover a wide range of market … a close-to-actual-market GARCH-filtered kernel density estimation. In these two markets, options are dynamically hedged …