Using the short-lived arbitrage model to compute minimum variance hedge ratios: application to indices, stocks and commodities

DOI10.1080/14697688.2020.1773519MaRDI QIDQ5014179zbMATH OpenOpenAlexFDO

Authors Jimmy E. Hilliard, Jitka Hilliard, Yinan Ni

Publication date 1 December 2021

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/14697688.2020.1773519

zbMATH Keywords

hedge ratiosimplied parameterspractitioner Black-Scholesshort-lived arbitrage

Mathematics Subject Classification ID

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

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Calibration and hedging under jump diffusion
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Option pricing under short-lived arbitrage: theory and tests
• Option pricing when underlying stock returns are discontinuous
• The pricing of options and corporate liabilities
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

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Uses Software

• dmariano

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