Delta hedging a multi‐fixed‐income‐securities portfolio...

The Journal of Risk Finance 2009 / 02 Vol. 10; Iss. 2

Delta hedging a multi‐fixed‐income‐securities portfolio under gamma and vega constraints

Ortiz, Carlos E., Stone, Charles A., Zissu, Anne
How much do you like this book?
What’s the quality of the file?
Download the book for quality assessment
What’s the quality of the downloaded files?
Volume:
10
Language:
english
Journal:
The Journal of Risk Finance
DOI:
10.1108/15265940910938242
Date:
February, 2009
File:
PDF, 175 KB
english, 2009
Conversion to is in progress
Conversion to is failed