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ArticleHedging volatility risk

Menachem Brenner2005

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Articlegreen2005

Hedging volatility risk

Menachem Brenner · Ernest Y. Ou · Jin E. Zhang

71 citations·0/0 files stored·Journal of Banking & Finance

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Risk Management in Financial Firms

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References

1985A Theory of the Term Structure of Interest Rates 1987The Pricing of Options on Assets with Stochastic Volatilities 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach 2003Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options 1987The Pricing of Options on Assets with Stochastic Volatilities 1979The valuation of compound options 1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model 2003Delta-Hedged Gains and the Negative Market Volatility Risk Premium

Cited by

2007A Jump Diffusion Model for VIX Volatility Options and Futures 2013Model-Free Volatility Indexes in the Financial Literature: A Review 2004Local and spillover shocks in implied market volatility: evidence for the U.S. and Germany 2011The information content of the S&P 500 index and VIX options on the dynamics of the S&P 500 index 2009The CBOE S&P 500 three‐month variance futures

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2009Stochastic Volatilityother · 11 shared references 2004Variance Risk Premiapreprint · 8 shared references 2007An empirical comparison of continuous-time models of implied volatility indicesarticle · 8 shared references 2010The performance of VIX option pricing models: Empirical evidence beyond simulationarticle · 8 shared references 2007A Jump Diffusion Model for VIX Volatility Options and Futuresarticle · 8 shared references 2003Empirical option pricing: a retrospectionarticle · 7 shared references

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Year2005

Typearticle

Published2005-12-10

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations71

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jbankfin.2005.07.015

openalex_workW3122392019

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