Hedging volatility risk

Journal of Banking and Finance

Volumn 30, Issue 3, 2006, Pages 811-821

  Brenner, Menachem ^a   Ou, Ernest Y ^b   Zhang, Jin E ^c  

^a NEW YORK UNIVERSITY   (United States)

^b Archeus Capital Management   (United States)

^c UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Compound options; Risk management; Stochastic volatility; Volatility index; Volatility options

Indexed keywords

EID: 33644791736     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2005.07.015     Document Type: Article

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