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Dynamic volatility trading strategies in the currency option market - MaRDI portal

Dynamic volatility trading strategies in the currency option market

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Publication:375324

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DOI10.1023/A:1009638225908zbMath1274.91381MaRDI QIDQ375324

Dajiang Guo

Publication date: 29 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

zbMATH Keywords

trading strategies implied volatility GARCH model delta straddle-hedge

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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