On valuing and hedging European options when volatility is estimated directly (Q439467): Difference between revisions
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Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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Property / zbMATH DE Number: 6066831 / rank | |||
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finance | |||
Property / zbMATH Keywords: finance / rank | |||
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risk analysis | |||
Property / zbMATH Keywords: risk analysis / rank | |||
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volatility estimation | |||
Property / zbMATH Keywords: volatility estimation / rank | |||
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simulation | |||
Property / zbMATH Keywords: simulation / rank | |||
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valuation sensitivities | |||
Property / zbMATH Keywords: valuation sensitivities / rank | |||
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Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/j.ejor.2011.09.011 / rank | |||
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Property / OpenAlex ID: W1971744409 / rank | |||
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Property / cites work | |||
Property / cites work: Q4716197 / rank | |||
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Latest revision as of 14:14, 5 July 2024
scientific article
Language | Label | Description | Also known as |
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English | On valuing and hedging European options when volatility is estimated directly |
scientific article |
Statements
On valuing and hedging European options when volatility is estimated directly (English)
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16 August 2012
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finance
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risk analysis
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volatility estimation
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simulation
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valuation sensitivities
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