Performance measurement for option portfolios in a stochastic volatility framework

DOI10.1080/14697688.2021.1985163MaRDI QIDQ5072912zbMATH OpenOpenAlexFDO

Authors Rainer Baule, Oliver Entrop, Sebastian Wessels

Publication date 5 May 2022

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2021.1985163

zbMATH Keywords

Heston modeloption portfoliosoption-based factorsperformance measurementstochastic volatility

Mathematics Subject Classification ID

Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Integrated portfolio management with options
• OPTIONED PORTFOLIO SELECTION: MODELS AND ANALYSIS
• OPTION BETAS: RISK MEASURES FOR OPTIONS
• Portfolio optimization and a factor model in a stochastic volatility market
• Back-testing the performance of an actively managed option portfolio at the Swedish stock market, 1990-1999

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Common risk factors in the returns on stocks and bonds
• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• Stochastic integral
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS

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