Using the short-lived arbitrage model to compute minimum variance hedge ratios: application to indices, stocks and commodities

DOI10.1080/14697688.2020.1773519zbMath1479.91399OpenAlexW3045959141MaRDI QIDQ5014179

Jitka Hilliard, Jimmy E. Hilliard, Yinan Ni

Publication date: 1 December 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1773519

zbMATH Keywords

hedge ratiosimplied parameterspractitioner Black-Scholesshort-lived arbitrage

Mathematics Subject Classification ID

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

Uses Software

• dmariano

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Calibration and hedging under jump diffusion
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Option pricing under short-lived arbitrage: theory and tests
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous

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