Performance of Delta-hedging strategies in interval models - A robustness study

B. Roorda, Jacob Engwerda and Johannes Schumacher
Additional contact information
B. Roorda: Tilburg University, Center For Economic Research

No 1999-05, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: hedging; volatility; option pricing (search for similar items in EconPapers)
Date: 1999
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://repository.tilburguniversity.edu/bitstream ... 1046a5eff48/download (application/pdf)

Related works:
Working Paper: Performance of Delta-hedging strategies in interval models - A robustness study (1999)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tiu:tiucen:c7e49e9c-5532-4028-ac01-47cfcbb8a2c2

Access Statistics for this paper

More papers in Discussion Paper from Tilburg University, Center for Economic Research
Bibliographic data for series maintained by Richard Broekman ().