HEDGING VOLATILITY RISK: THE EFFECTIVENESS OF VOLATILITY OPTIONS

DOI10.1142/S0219024907004317zbMath1136.91469MaRDI QIDQ5297237

Yunbi An, Jun Yang, Ata Assaf

Publication date: 18 July 2007

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

hedgingMonte Carlo simulationvolatility riskvolatility options

Mathematics Subject Classification ID

Related Items (1)

MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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