Understanding delta-hedged option returns in stochastic volatility environments

DOI10.1007/S10690-014-9198-3zbMath1368.91175OpenAlexW2020623032MaRDI QIDQ2013296

Hiroshi Sasaki

Publication date: 17 August 2017

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-014-9198-3

zbMATH Keywords

stochastic volatilitycurrency optionvolatility risk premiumdelta-hedged option returnsparameter estimation risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Option pricing under model and parameter uncertainty using predictive densities
• Stochastic calculus for finance. II: Continuous-time models.
• Closed-form likelihood expansions for multivariate diffusions
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS

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