HEDGING VOLATILITY RISK: THE EFFECTIVENESS OF VOLATILITY OPTIONS

DOI10.1142/S0219024907004317MaRDI QIDQ5297237zbMATH OpenFDO

Authors Yunbi An, Ata Assaf, Jun Yang

Publication date 18 July 2007

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

Full work available at URL https://doi.org/10.1142/S0219024907004317

zbMATH Keywords

hedgingMonte Carlo simulationvolatility optionsvolatility risk

Mathematics Subject Classification ID

Recommendations

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• The pricing of options and corporate liabilities

Cited in

(2)

• Can expected shortfall and Value-at-Risk be used to statically hedge options?
• MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING

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