On valuing and hedging European options when volatility is estimated directly

DOI10.1016/J.EJOR.2011.09.011zbMATH Open1244.91095OpenAlexW1971744409MaRDI QIDQ439467FDOQ439467

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

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zbMATH Keywords

simulationfinancerisk analysisvolatility estimationvaluation sensitivities

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• Stochastic calculus for finance. II: Continuous-time models.
• A dynamic stochastic programming model for international portfolio management
• Title not available (Why is that?)
• The practice of Delta--Gamma VaR: Implementing the quadratic portfolio model.
• The Statistical Properties of the Black–Scholes Option Price
• Title not available (Why is that?)
• Success or failure of a firm under different financing policies: A dynamic stochastic model

Cited In (5)

• Pricing and risk management of interest rate swaps
• A test of the beta model on Eurodollar futures options
• Title not available (Why is that?)
• Title not available (Why is that?)
• Valuation of European option under uncertain volatility model

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