Charm-adjusted delta and delta gamma hedging
Year of publication: |
2012
|
---|---|
Authors: | Mastinsek, Miklavz |
Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 19.2012, 3, p. 69-76
|
Subject: | Hedging | Optionspreistheorie | Option pricing theory |
-
How to hedge if the payment date is uncertain?
Korn, Olaf, (2016)
-
Utility based pricing and hedging of jump diffusion processes with a view to applications
Zahn, Jochen Wolfgang, (2012)
-
Using neural networks to price and hedge variable annuity guarantees
Doyle, Daniel, (2019)
- More ...
-
On robustness of the black-scholes partial differential equation model
Mastinsek, Miklavz, (2016)
-
Discrete–time delta hedging and the Black–Scholes model with transaction costs
Mastinsek, Miklavz, (2006)
-
Charm-Adjusted Delta and Delta Gamma Hedging
Mastinsek, Miklavz, (2012)
- More ...