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volatility options hedging effectiveness pricing and model error dimitris psychoyios and george skiadopoulos abstract motivated by the growing literature on volatility options and their imminent introduction in major exchanges this ...

Filetype PDF | Posted on 20 Aug 2022 | 3 years ago

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...Volatility options hedging effectiveness pricing and model error dimitris psychoyios george skiadopoulos abstract motivated by the growing literature on their imminent introduction in major exchanges this paper addresses two issues first we examine whether are superior to standard terms of risk second investigate comparative performance various option models presence monte carlo simulations within a stochastic setup employed address these questions alternative dynamic schemes compared considered results have important implications for use as instruments robustness jel classification g keywords simulation particularly grateful nicole branger peter carr jens jackwerth iakovos iliadis stathis tompaidis many extensive discussions would like also thank iliana anagnou charles cao petros dellaportas stephen figlewski apostolos refenes uwe wystup participants at french finance association meeting paris bachelier world congress chicago european investment review london quant europe aueb univers...

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Posted on: 20 Aug 2022 | 3 years ago
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