Zissu, Anne; Ortiz, Carlos; Stone, Charles - In: Journal of Risk Finance 11 (2010) August, pp. 377-400
Purpose – The aim of this paper is to develop the optimal delta hedge for a portfolio of mortgage servicing rights (MSR) under the constraint of a zero-gamma in order to avoid costs related to the rebalancing of such portfolio. Design/methodology/approach – The paper develops the optimal...
