SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Hedging the smirk · Study

ArticleShelves

ArticleHedging the smirk

David S. Bates2005

Article2005

Hedging the smirk

45 citations·0/0 files stored·Finance research letters

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

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

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 45 citations exist upstream.

References

1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1976Option pricing when underlying stock returns are discontinuous 1976The pricing of commodity contracts 1994Implied Binomial Trees 1987Efficient Analytic Approximation of American Option Values 1991The Crash of ʼ87: Was It Expected? The Evidence from Options Markets 1991The Crash of '87: Was It Expected? The Evidence from Options Markets

Cited by

2012Is warrant really a derivative? Evidence from the Chinese warrant market 2009Model risk adjusted hedge ratios 2022Empirical Option Pricing Models 2012Empirical performance of a spline-based implied volatility surface 2008Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?2011Hedging under model misspecification: All risk factors are equal, but some are more equal than others …

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

199520 Testing option pricing modelschapter · 7 shared references 2000Reading the smile: the message conveyed by methods which infer risk neutral densitiesarticle · 7 shared references 2001Implied volatility surfaces: uncovering regularities for options on financial futuresarticle · 7 shared references 2001Reading PIBOR futures options smiles: The 1997 snap electionarticle · 7 shared references 2011Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and Notional Operators Appreciated the 1997 French Snap Electionpreprint · 6 shared references 1996Using option prices to estimate realignment probabilities in the European Monetary System: the case of sterling-markarticle · 6 shared references

Details

Year2005

Typearticle

Published2005-09-30

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations45

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.frl.2005.08.004

openalex_workW2029610249

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2023

Delta hedging bitcoin options with a smile