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Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments

Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments
Paper文書・図像類
Takahashi, Akihiko, Tsuzuki, Yukihiro, Yamazaki, Akira日本経済国際共同センター2010-12Discussion paper series. CIRJE-FCIRJE-F-777
Other Libraries in Japan
  • Subject HeadingEuropean Derivatives Black-Scholes Delta Hedging Uncertain Volatility Risk Polynomial Variance Swap

Realized Volatility Risk

Realized Volatility Risk
Digital文書・図像類
Allen, David E., McAleer, Michael, Scharth, MarcelInstitute of Economic Research, Kyoto University2010-12KIER Discussion Paper753
Available onlineOther Libraries in Japan
  • Summary, etc....arge degree of volatility risk in stock and i......e characterize volatility risk by the extent ...... modeling this volatility risk is fundamental. We propose a ...
  • Subject Heading... of volatility volatility risk value-at-risk forecasting con...

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