Performance measurement for option portfolios in a stochastic volatility framework

DOI10.1080/14697688.2021.1985163zbMath1487.91110OpenAlexW4226112430MaRDI QIDQ5072912

Oliver Entrop, Rainer Baule, Sebastian Wessels

Publication date: 5 May 2022

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

Full work available at URL: https://doi.org/10.1080/14697688.2021.1985163

zbMATH Keywords

stochastic volatilityperformance measurementHeston modeloption portfoliosoption-based factors

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Common risk factors in the returns on stocks and bonds
• Stochastic integral

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