Peng Zhu

Nanjing University

Nanjing, Jiangsu 210093

China

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Scholarly Papers (1)

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Delta Hedging and Volatility-Price Elasticity: A Two-Step Approach

Number of pages: 42 Posted: 24 Nov 2020
Peng Zhu, Kun Xia and Xuewei Yang
Nanjing University, Hong Kong University of Science & Technology (HKUST) - HKUST Business School and Nanjing University - School of Management and Engineering
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Abstract:

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Option; Delta hedging; Dynamic of volatility-price elasticity; Risk management; Minimum variance