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ArticleLocal parametric analysis of hedging in discrete time

Peter L. Bossaerts1997

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Articlegreen1997

Local parametric analysis of hedging in discrete time

Peter L. Bossaerts · Pierre Hillion

30 citations·0/0 files stored·Journal of Econometrics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1973Risk, Return, and Equilibrium: Empirical Tests 1979Option pricing: A simplified approach 1972The capital asset pricing model: Some empirical tests 1994Implied Binomial Trees 1973Studies in the Theory of Capital Markets.1973Studies in the Theory of Capital Markets.1994A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks

Cited by

1998Implied Volatility Functions: Empirical Tests 19965 Stochastic volatility 1996The econometrics of financial markets 1996Implied Volatility Functions: Empirical Tests 2008Dynamic Hedging in Incomplete Markets: A Simple Solution 1996Foreign Exchange Rates Have Surprising Volatility 2016Do investor sentiment, weather and catastrophe effects improve hedging performance? Evidence from the Taiwan options market

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Year1997

Typearticle

Published1997-11-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations30

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0304-4076(97)00046-8

openalex_workW1997129693

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1997Nonparametric methods and option pricing