Showing 1 - 10 of 13
Persistent link: https://www.econbiz.de/10008655196
Persistent link: https://www.econbiz.de/10009311683
Persistent link: https://www.econbiz.de/10008904356
Persistent link: https://www.econbiz.de/10010200946
Persistent link: https://www.econbiz.de/10008779220
Persistent link: https://www.econbiz.de/10003752317
Persistent link: https://www.econbiz.de/10011800371
This paper solves the mean-variance hedging problem in Heston's model with a stochastic opportunity set moving systematically with the volatility of stock returns. We allow for correlation between stock returns and their volatility (so-called leverage effect).lt;brgt;lt;brgt;Our contribution is...
Persistent link: https://www.econbiz.de/10012705869
We study how short-term informational advantages can be monetized in a high-frequency setting, when large inventories are explicitly penalized. We find that if most of the additional information is revealed regardless of the high-frequency traders' actions, then fast inventory management allows...
Persistent link: https://www.econbiz.de/10011412266
We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset. Rather than taking all models from a prespecified class equally seriously, we penalise less plausible ones based on their "distance" to a reference local volatility model. In...
Persistent link: https://www.econbiz.de/10011410718