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Robust hedging performance and volatility risk in option markets : application to Standard and Poor's 500 and Taiwan index options

Han, Chuan-Hsiang; Chang, Chien-Hung; Kuo, Chii-Shyan; … - In: International review of economics & finance : IREF 40 (2015), pp. 160-173

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011573571

Asymmetric variance reduction for pricing american options

Han, Chuan-Hsiang; Fouque, Jean-Pierre - 2009

Persistent link: https://ebvufind01.dmz1.zbw.eu/10003826937

Estimating Optimal Hedge Ratio and Hedge Effectiveness Via Fitting the Multivariate Skewed Distributions

Liu, Wei-Han - 2012

This paper presents the use of three multivariate skew distributions (Generalized Hyperbolic distribution, multivariate skew normal distribution, and multivariate skew t distribution) for estimating minimum variance hedge ratio in a dynamic setting. Three criteria for measuring hedge...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013114075

Estimating Optimal Hedge Ratio and Hedge Effectiveness via Fitting the Multivariate Skewed Distributions

Liu, Wei-Han - 2011

This paper introduces the use of three multivariate skew distributions (Generalized Hyperbolic distribution, multivariate skew normal distribution, and multivariate skew t distribution) for estimating the minimum variance hedge ratio in a dynamic setting. Three criteria for measuring hedge...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013117483

Optimal hedge ratio estimation and hedge effectiveness with multivariate skew distributions

Liu, Wei-hn - In: Applied economics 46 (2014) 10/12, pp. 1420-1435

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010399261