dc.contributor.author | Poulsen, Rolf | de |
dc.contributor.author | Schenk-Hoppé, Klaus Reiner | de |
dc.contributor.author | Ewald, Christian-Oliver | de |
dc.date.accessioned | 2011-02-23T03:56:00Z | de |
dc.date.accessioned | 2012-08-29T23:07:47Z | |
dc.date.available | 2012-08-29T23:07:47Z | |
dc.date.issued | 2009 | de |
dc.identifier.uri | http://www.ssoar.info/ssoar/handle/document/22155 | |
dc.description.abstract | In this paper the performance of locally risk-minimizing delta hedge
strategies for European options in stochastic volatility models is studied from
an experimental as well as from an empirical perspective. These hedge
strategies are derived for a large class of diffusion-type stochastic
volatility models, and they are as easy to implement as
usual delta hedges. Our simulation results on model risk show that these
risk-minimizing hedges are robust with respect to uncertainty and
misconceptions about the underlying data generating process. The empirical
study, which includes the U.S. sub-prime crisis period,
documents that in equity markets risk-minimizing delta hedges
consistently outperform usual delta hedges by approximately halving
the standard deviation of the profit-and-loss ratio. | en |
dc.language | en | de |
dc.subject.ddc | Wirtschaft | de |
dc.subject.ddc | Economics | en |
dc.subject.other | Locally risk-minimizing delta hedge; Stochastic volatility; Model risk; Empirical hedge performance | |
dc.title | Risk minimization in stochastic volatility models: model risk and empirical performance | en |
dc.description.review | begutachtet (peer reviewed) | de |
dc.description.review | peer reviewed | en |
dc.source.journal | Quantitative Finance | de |
dc.source.volume | 9 | de |
dc.publisher.country | GBR | |
dc.source.issue | 6 | de |
dc.subject.classoz | Economic Statistics, Econometrics, Business Informatics | en |
dc.subject.classoz | Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik | de |
dc.subject.classoz | Political Economy | en |
dc.subject.classoz | Volkswirtschaftslehre | de |
dc.identifier.urn | urn:nbn:de:0168-ssoar-221553 | de |
dc.date.modified | 2011-02-23T15:38:00Z | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | en |
ssoar.gesis.collection | SOLIS;ADIS | de |
ssoar.contributor.institution | http://www.peerproject.eu/ | de |
internal.status | 3 | de |
dc.type.stock | article | de |
dc.type.document | journal article | en |
dc.type.document | Zeitschriftenartikel | de |
dc.rights.copyright | f | de |
dc.source.pageinfo | 693-704 | |
internal.identifier.classoz | 10905 | |
internal.identifier.classoz | 1090300 | |
internal.identifier.document | 32 | |
internal.identifier.ddc | 330 | |
dc.identifier.doi | https://doi.org/10.1080/14697680902852738 | de |
dc.description.pubstatus | Postprint | en |
dc.description.pubstatus | Postprint | de |
internal.identifier.licence | 7 | |
internal.identifier.pubstatus | 2 | |
internal.identifier.review | 1 | |
internal.check.abstractlanguageharmonizer | CERTAIN | |
internal.check.languageharmonizer | CERTAIN_RETAINED | |