Model-free hedge ratios and scale-invariant models

Journal of Banking and Finance

Volumn 31, Issue 6, 2007, Pages 1839-1861

  Alexander, Carol ^a   Nogueira, Leonardo M ^a,b  

^a UNIVERSITY OF READING   (United Kingdom)

^b BANCO CENTRAL DO BRASIL   (Brazil)

Author keywords

Hedging; Local volatility; Minimum variance; Model free; Scale invariance; Stochastic volatility

Indexed keywords

EID: 34047203328     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2006.11.011     Document Type: Article

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