Using the short-lived arbitrage model to compute minimum variance hedge ratios: application to indices, stocks and commodities (Q5014179)
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scientific article; zbMATH DE number 7436780
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Using the short-lived arbitrage model to compute minimum variance hedge ratios: application to indices, stocks and commodities |
scientific article; zbMATH DE number 7436780 |
Statements
Using the short-lived arbitrage model to compute minimum variance hedge ratios: application to indices, stocks and commodities (English)
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1 December 2021
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practitioner Black-Scholes
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hedge ratios
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short-lived arbitrage
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implied parameters
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