Smile‐implied hedging with volatility risk-Reference-Cited by-同舟云学术

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Smile‐implied hedging with volatility risk

Published:2021-03-26 Issue:8 Volume:41 Page:1220-1240
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

François Pascal¹^ORCID,Stentoft Lars²

Affiliation:

1. Department of Finance HEC Montreal Montreal Quebec Canada

2. Department of Economics Western University London Ontario Canada

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22191

Reference42 articles.

1. The little Heston trap;Albrecher H.;Wilmott,2007

2. Model risk adjusted hedge ratios

3. Model-free hedge ratios and scale-invariant models

4. Model-free price hedge ratios for homogeneous claims on tradable assets

5. Regime-dependent smile-adjusted delta hedging

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach;Journal of Futures Markets;2023-07-14

2. Delta hedging bitcoin options with a smile;Quantitative Finance;2023-03-05

3. On the Measurement of Hedging Effectiveness for Long-Term Investment Guarantees;Journal of Risk and Financial Management;2023-02-10

4. Venturing into uncharted territory: An extensible implied volatility surface model;Journal of Futures Markets;2022-07-13

5. Delta Hedging Bitcoin Options with a Smile;SSRN Electronic Journal;2022

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