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HEDGING VOLATILITY RISK: THE EFFECTIVENESS OF VOLATILITY OPTIONS - MaRDI portal

HEDGING VOLATILITY RISK: THE EFFECTIVENESS OF VOLATILITY OPTIONS (Q5297237)

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scientific article; zbMATH DE number 5172246
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English
HEDGING VOLATILITY RISK: THE EFFECTIVENESS OF VOLATILITY OPTIONS
scientific article; zbMATH DE number 5172246

    Statements

    title
    HEDGING VOLATILITY RISK: THE EFFECTIVENESS OF VOLATILITY OPTIONS (English)
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    author
    Yunbi An
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    Ata Assaf
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    Jun Yang
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    publication date
    18 July 2007
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    zbMATH Keywords
    volatility risk
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    volatility options
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    hedging
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    Monte Carlo simulation
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    Identifiers

    zbMATH DE Number
    5172246
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