Delta hedging strategies comparison

descriptionPublicationkeyboard_double_arrow_right Article 01 Mar 2008 Germany, Italy English Publisher:Elsevier BVJournal:European Journal of Operational Research, volume 185, pages 1,615-1,631 (issn: 0377-2217,

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Authors: Domenico De Giovanni; Sergio Ortobelli Lozza; Svetlozar T. Rachev;

doi: 10.1016/j.ejor.2006.08.019

handle: 10446/21642 , 20.500.11770/132232

Delta hedging strategies comparison

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Abstract

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Countries

Germany, Italy

Related Organizations

University of Calabria
Italy
University of Bergamo
Italy
University of California, Santa Barbara
United States
Karlsruhe Institute of Technology
Germany
Hochschule für Musik Karlsruhe
Germany

Keywords

Economic time series analysis, info:eu-repo/classification/ddc/330, 330, Derivative securities (option pricing, hedging, etc.), ddc:330, Economics, incomplete markets, subordinated models, stable motion, delta hedging, option pricing

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