Is it important to consider the jump component for pricing and hedging shot-term options
Article Abstract:
The conclusions of study conducted to assess the usefulness of jump component for pricing and hedging short-term options with reference to KOSPI ( Korean Composite Stock Price Index) 200 Index options are presented.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
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Volatility options: hedging effectiveness, pricing, and model error
Article Abstract:
A comparison of hedging risks and pricing of volatility options with that of standard options is presented. Monte Carlo simulations are used for the purpose.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2006
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An empirical examination of the pricing of exchange -- traded barrier options
Article Abstract:
A study comparing the pricing of traded barrier options of Australian Stock Exchange and standard European options is presented.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2004
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