Understanding delta-hedged option returns in stochastic volatility environments

DOI10.1007/S10690-014-9198-3zbMATH Open1368.91175OpenAlexW2020623032MaRDI QIDQ2013296FDOQ2013296

Authors: Hiroshi Sasaki 

Publication date: 17 August 2017

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-014-9198-3

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zbMATH Keywords

stochastic volatilitycurrency optionvolatility risk premiumdelta-hedged option returnsparameter estimation risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)

Cites Work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Stochastic calculus for finance. II: Continuous-time models.
• Closed-form likelihood expansions for multivariate diffusions
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Option pricing under model and parameter uncertainty using predictive densities

Cited In (3)

• The volatility risk premium in the oil market
• Robustness of Delta Hedging for Path-Dependent Options in Local Volatility Models
• The cross-section of average delta-hedge option returns under stochastic volatility

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