On valuing and hedging European options when volatility is estimated directly (Q439467): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6066831
@@ Property / zbMATH DE Number: 6066831 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+finance
@@ Property / zbMATH Keywords: finance / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+risk analysis
@@ Property / zbMATH Keywords: risk analysis / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+volatility estimation
@@ Property / zbMATH Keywords: volatility estimation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+simulation
@@ Property / zbMATH Keywords: simulation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+valuation sensitivities
@@ Property / zbMATH Keywords: valuation sensitivities / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.ejor.2011.09.011
+Normal rank
@@ Property / OpenAlex ID @@
+W1971744409
@@ Property / OpenAlex ID: W1971744409 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4716197
@@ Property / cites work: Q4716197 / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+The practice of Delta--Gamma VaR: Implementing the quadratic portfolio model.
+Normal rank
@@ Property / cites work @@
+Success or failure of a firm under different financing policies: A dynamic stochastic model
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+The Statistical Properties of the Black–Scholes Option Price
+Normal rank
@@ Property / cites work @@
+Stochastic calculus for finance. II: Continuous-time models.
+Normal rank
@@ Property / cites work @@
+A dynamic stochastic programming model for international portfolio management
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:439467