Volatility options: Hedging effectiveness, pricing, and model error
نویسندگان
چکیده
منابع مشابه
Pricing and Hedging Options under Stochastic Volatility
In this essay, I mainly discuss how to price and hedge options in stochastic volatility (SV) models. The market is incomplete in the SV model, whereas it is complete in the Black-Scholes model. Thus the option pricing and hedging methods are a little different for the SV model and for the Black-Scholes model. The no-arbitrage argument and the risk-neutral valuation method are two general method...
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Abstract In this paper we consider the problem of pricing a general Asian basket spread option. We develop approximations formulae based on comonotonicity theory and moment matching methods. We compare their relative performances and explain how to choose the best approximation technique as a function of the Asian basket spread characteristics. We also give the Greeks for our proposed methods. ...
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ژورنال
عنوان ژورنال: Journal of Futures Markets
سال: 2005
ISSN: 0270-7314,1096-9934
DOI: 10.1002/fut.20181