Sensitivities and hedging of the collateral choice option
Griselda Deelstra, Lech A. Grzelak, Felix L. Wolf
| Year of publication: |
2022
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|---|---|
| Authors: | Deelstra, Griselda ; Grzelak, Lech A. ; Wolf, Felix Lukas |
| Published in: |
International journal of theoretical and applied finance : IJTAF. - Singapore : World Scientific, ZDB-ID 2027376-9. - Vol. 25.2022, 6, Art.-No. 2250027, p. 1-35
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| Subject: | cheapest-to-deliver collateral | Collateral choice option | CSA | currency spreads | minimal-variance hedging | static hedging | Hedging | Kreditsicherung | Collateral | Optionsgeschäft | Option trading | Kreditrisiko | Credit risk | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Währungsderivat | Currency derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024922500273 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014235062