It only takes a few moments to hedge options

DOI10.1016/j.jedc.2018.11.008zbMath1411.91539OpenAlexW2908639110WikidataQ128605736 ScholiaQ128605736MaRDI QIDQ1734554

David Sloth, Andrea Barletta, Paolo Santucci de Magistris

Publication date: 27 March 2019

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://pure.au.dk/ws/files/191935416/It_Only_Takes_a_Few_Moments_to_Hedge_Options_accept.manu_2019.pdf

zbMATH Keywords

hedgingrisk-neutral momentsoption Greeksvariance-swap

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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