On valuing and hedging European options when volatility is estimated directly
From MaRDI portal
Publication:439467
DOI10.1016/j.ejor.2011.09.011zbMath1244.91095MaRDI QIDQ439467
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
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Cites Work
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