Similar Search Results - EconBiz

Regime-Dependent Smile-Adjusted Delta Hedging

Alexander, Carol; Rubinov, Alexander; Kalepky, Markus; … - Henley Business School, University of Reading - 2010

consistently and significantly improve on implied BSM delta hedging, for options of all moneyness and maturities and whether … rebalancing is daily, weekly or fortnightly. For most options and over all hedging horizons the regime-dependent smile …Most research on option hedging has compared the performance of delta hedges derived from different stochastic …

Persistent link: https://www.econbiz.de/10011206320

Markov Switching GARCH Diffusion

Alexander, Carol; Lazar, Emese - Henley Business School, University of Reading - 2008

GARCH option pricing models have the advantage of a well-established econometric foundation. However, multiple states need to be introduced as single state GARCH and even Levy processes are unable to explain the term structure of the moments of financial data. We show that the continuous time...

Persistent link: https://www.econbiz.de/10008542351

The bitcoin VIX and its variance risk premium

Alexander, Carol; Imeraj, Arben - In: The journal of alternative investments : JAI 23 (2021) 4, pp. 84-109

Persistent link: https://www.econbiz.de/10012503289

Model risk adjusted hedge ratios

Alexander, Carol; Kaeck, Andreas; Nogueira, Leonardo M. - In: The journal of futures markets 29 (2009) 11, pp. 1021-1049

Persistent link: https://www.econbiz.de/10003900965

The (de)merits of minimum-variance hedging : application to the crack spread

Alexander, Carol; Prokopczuk, Marcel; Sumawong, Anannit - In: Energy economics 36 (2013), pp. 698-707

Persistent link: https://www.econbiz.de/10009724605

The (de)merits of minimum-variance hedging : application to the crack spread

Alexander, Carol; Prokopczuk, Marcel; Sumawong, Anannit - 2012

Persistent link: https://www.econbiz.de/10009520538

Pricing and hedging convertible bonds : delayed calls and uncertain volatility

Yiǧitbaşioǧlu, Ali Bora; Alexander, Carol - In: International journal of theoretical and applied finance 9 (2006) 3, pp. 415-453

Persistent link: https://www.econbiz.de/10003344330

Market risk analysis

Alexander, Carol - 2008

Persistent link: https://www.econbiz.de/10003659391

Quantitative methods in finance

Alexander, Carol - 2008

Persistent link: https://www.econbiz.de/10003690818

Model-free hedge ratios and scale-invariant models

Alexander, Carol; Nogueira, Leonardo M. - In: Journal of banking & finance 31 (2007) 6, pp. 1839-1861

Persistent link: https://www.econbiz.de/10003483512

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