Delta hedging a multi-fixed-income-securities portfolio under gamma and vega constraints
Carlos E. Ortiz; Charles A. Stone; Anne Zissu
| Year of publication: |
2009
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|---|---|
| Authors: | Ortiz, Carlos E. ; Stone, Charles A. ; Zissu, Anne-Marie |
| Published in: |
Journal of risk finance : the convergence of financial products and insurance. - Bingley : Emerald Group Publishing Limited, ISSN 1526-5943, ZDB-ID 2088897-1. - Vol. 10.2009, 2, p. 169-178
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| Subject: | Theorie | Theory | Portfolio-Management | Portfolio selection | Hedging |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009523749