Understanding delta-hedged option returns in stochastic volatility environments
type: Item
instance of: scholarly article
title: Understanding delta-hedged option returns in stochastic volatility environments
zbMATH Open document ID: 1368.91175
author: Hiroshi Sasaki
published in: Asia-Pacific Financial Markets
publication date: 2017-08-17T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91B70
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6761421
zbMATH Keywords: delta-hedged option returns
zbMATH Keywords: stochastic volatility
zbMATH Keywords: parameter estimation risk
zbMATH Keywords: volatility risk premium
zbMATH Keywords: currency option
MaRDI profile type: Publication
full work available at URL: s10690-014-9198-3
OpenAlex ID: W2020623032
cites work: Closed-form likelihood expansions for multivariate diffusions
cites work: Option pricing under model and parameter uncertainty using predictive densities
cites work: MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
cites work: Stochastic calculus for finance. II: Continuous-time models.
DOI: 10.1007/S10690-014-9198-3
description: scientific article; zbMATH DE number 6761421