On valuing and hedging European options when volatility is estimated directly

DOI10.1016/j.ejor.2011.09.011zbMath1244.91095OpenAlexW1971744409MaRDI QIDQ439467

David Goldsman, Ray Popovic

Publication date: 16 August 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2011.09.011

zbMATH Keywords

simulationrisk analysisfinancevolatility estimationvaluation sensitivities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Pricing and risk management of interest rate swaps

Cites Work

• The Pricing of Options and Corporate Liabilities
• The practice of Delta--Gamma VaR: Implementing the quadratic portfolio model.
• Stochastic calculus for finance. II: Continuous-time models.
• A dynamic stochastic programming model for international portfolio management
• The Statistical Properties of the Black–Scholes Option Price
• Success or failure of a firm under different financing policies: A dynamic stochastic model
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