Matches in SemOpenAlex for { <https://semopenalex.org/work/W3123540530> ?p ?o ?g. }
Showing items 1 to 67 of
67
with 100 items per page.
- W3123540530 abstract "This paper evaluates the application of two well-known asymmetric stochastic volatility (ASV) models to option price forecasting and dynamic delta hedging. They are specied in discrete time in contrast to the classical stochastic volatility (SV) models used in option pricing. There is some related literature, but little is known about the empirical implications of volatility asymmetry on option pricing. The objectives of this paper are to estimate ASV option pricing models using a Bayesian approach unknown in this type of literature, and to investigate the e ect of volatility asymmetry on option pricing for di erent size equity sectors and periods of volatility. Using the S&P MidCap 400 and S&P 500 European call option quotes, results show that volatility asymmetry benets the accuracy of option price forecasting and hedging cost e ectiveness in the large-cap equity sector. However, asymmetric SV models do not improve the option price forecasting and dynamic hedging in the mid-cap equity sector." @default.
- W3123540530 created "2021-02-01" @default.
- W3123540530 creator A5002013778 @default.
- W3123540530 creator A5091775407 @default.
- W3123540530 date "2019-03-19" @default.
- W3123540530 modified "2023-09-27" @default.
- W3123540530 title "Exploring option pricing and hedging via volatility asymmetry" @default.
- W3123540530 hasPublicationYear "2019" @default.
- W3123540530 type Work @default.
- W3123540530 sameAs 3123540530 @default.
- W3123540530 citedByCount "0" @default.
- W3123540530 crossrefType "posted-content" @default.
- W3123540530 hasAuthorship W3123540530A5002013778 @default.
- W3123540530 hasAuthorship W3123540530A5091775407 @default.
- W3123540530 hasConcept C106159729 @default.
- W3123540530 hasConcept C13290067 @default.
- W3123540530 hasConcept C149782125 @default.
- W3123540530 hasConcept C162324750 @default.
- W3123540530 hasConcept C17744445 @default.
- W3123540530 hasConcept C192620184 @default.
- W3123540530 hasConcept C194483076 @default.
- W3123540530 hasConcept C199539241 @default.
- W3123540530 hasConcept C199728807 @default.
- W3123540530 hasConcept C24189920 @default.
- W3123540530 hasConcept C2777600642 @default.
- W3123540530 hasConcept C85393063 @default.
- W3123540530 hasConcept C91602232 @default.
- W3123540530 hasConceptScore W3123540530C106159729 @default.
- W3123540530 hasConceptScore W3123540530C13290067 @default.
- W3123540530 hasConceptScore W3123540530C149782125 @default.
- W3123540530 hasConceptScore W3123540530C162324750 @default.
- W3123540530 hasConceptScore W3123540530C17744445 @default.
- W3123540530 hasConceptScore W3123540530C192620184 @default.
- W3123540530 hasConceptScore W3123540530C194483076 @default.
- W3123540530 hasConceptScore W3123540530C199539241 @default.
- W3123540530 hasConceptScore W3123540530C199728807 @default.
- W3123540530 hasConceptScore W3123540530C24189920 @default.
- W3123540530 hasConceptScore W3123540530C2777600642 @default.
- W3123540530 hasConceptScore W3123540530C85393063 @default.
- W3123540530 hasConceptScore W3123540530C91602232 @default.
- W3123540530 hasLocation W31235405301 @default.
- W3123540530 hasOpenAccess W3123540530 @default.
- W3123540530 hasPrimaryLocation W31235405301 @default.
- W3123540530 hasRelatedWork W1502052458 @default.
- W3123540530 hasRelatedWork W1506583466 @default.
- W3123540530 hasRelatedWork W1611669868 @default.
- W3123540530 hasRelatedWork W1980396637 @default.
- W3123540530 hasRelatedWork W2036352325 @default.
- W3123540530 hasRelatedWork W2043257827 @default.
- W3123540530 hasRelatedWork W2070165853 @default.
- W3123540530 hasRelatedWork W2080979544 @default.
- W3123540530 hasRelatedWork W2085335402 @default.
- W3123540530 hasRelatedWork W2089596486 @default.
- W3123540530 hasRelatedWork W2113289906 @default.
- W3123540530 hasRelatedWork W2142712849 @default.
- W3123540530 hasRelatedWork W2145915488 @default.
- W3123540530 hasRelatedWork W2169908486 @default.
- W3123540530 hasRelatedWork W2194908615 @default.
- W3123540530 hasRelatedWork W2278922349 @default.
- W3123540530 hasRelatedWork W2281164476 @default.
- W3123540530 hasRelatedWork W2478629528 @default.
- W3123540530 hasRelatedWork W2563808743 @default.
- W3123540530 hasRelatedWork W3125287154 @default.
- W3123540530 isParatext "false" @default.
- W3123540530 isRetracted "false" @default.
- W3123540530 magId "3123540530" @default.
- W3123540530 workType "article" @default.