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Hedging volatility: different perspectives compared
The accuracy of the Black and Scholes (1973) delta and vega neutral portfolio for a vanilla option was compared to a benchmark set by the Heston (1993) model in a stochastic volatility environment. The Black-Scholes portfolio was implemented using a fixed volatility and by implying volatility from t...
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| Format: | Thesis |
| Language: | English |
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Financial Accounting
2021
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