On valuing and hedging European options when volatility is estimated directly

DOI10.1016/J.EJOR.2011.09.011MaRDI QIDQ439467zbMATH OpenOpenAlexFDO

Authors Ray Popovic, David Goldsman

Publication date 16 August 2012

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2011.09.011

zbMATH Keywords

simulationfinancerisk analysisvolatility estimationvaluation sensitivities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• scientific article; zbMATH DE number 947803 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A dynamic stochastic programming model for international portfolio management
• Stochastic calculus for finance. II: Continuous-time models.
• Success or failure of a firm under different financing policies: A dynamic stochastic model
• The Statistical Properties of the Black–Scholes Option Price
• The practice of Delta--Gamma VaR: Implementing the quadratic portfolio model.
• The pricing of options and corporate liabilities

Cited in

(5)

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• A test of the beta model on Eurodollar futures options
• Pricing and risk management of interest rate swaps
• scientific article; zbMATH DE number 953303 (Why is no real title available?)
• Valuation of European option under uncertain volatility model

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