A non structural approach to option hedging via orthogonal polynomials

Petronzio, Silvio (A.A. 2019/2020) A non structural approach to option hedging via orthogonal polynomials. Tesi di Laurea in Econometric theory, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 73. [Master's Degree Thesis]

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Orthogonal polynomials. Elements of measure theory. The orthogonal expansion. Non-structural hedging. General assumptions. Computation of the risk-neutral moments. Empirical results. The SPX and the VIX: a brief retrospective. Analysis of driving risk factors for SPX options. How to read the RND in turbulent times: from the 2008 crisis to Covid-19.


Bibliografia: pp. 58-59.

Thesis Type: Master's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair: Econometric theory
Thesis Supervisor: Santucci de Magistris, Paolo
Thesis Co-Supervisor: Grassi, Stefano
Academic Year: 2019/2020
Session: Summer
Deposited by: Alessandro Perfetti
Date Deposited: 22 Jan 2021 10:34
Last Modified: 22 Jan 2021 10:34
URI: https://tesi.luiss.it/id/eprint/28162


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