La Turchia nell'era dell'AKP, le relazioni tra Ankara e Bruxelles dopo la riconferma di Erdogan
In: Est-ovest: rivista di studi sull'integrazione europea, Band 38, Heft 6, S. 97-121
ISSN: 0046-256X
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In: Est-ovest: rivista di studi sull'integrazione europea, Band 38, Heft 6, S. 97-121
ISSN: 0046-256X
World Affairs Online
In: Economic notes, Band 39, Heft 3, S. 203-226
ISSN: 1468-0300
Using a result in Angelini and Herzel (2009a), we measure, in terms of variance, the cost of hedging a contingent claim when the hedging portfolio is re‐balanced at a discrete set of dates. We analyse the dependence of the variance of the hedging error on the skewness and kurtosis as modeled by a Normal Inverse Gaussian model. We consider two types of strategies, the standard Black–Scholes Delta strategy and the locally variance‐optimal strategy, and we perform some robustness tests. In particular, we investigate the effect of different types of model misspecification on the performance of the hedging, like that of hedging without taking skewness into account. Computations are performed using a Fast Fourier Transform approach.
In: Decisions in economics and finance: a journal of applied mathematics, Band 33, Heft 1, S. 63-79
ISSN: 1129-6569, 2385-2658
In: Decisions in economics and finance: a journal of applied mathematics, Band 28, Heft 2, S. 113-127
ISSN: 1129-6569, 2385-2658
SSRN
Working paper