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Delta-hedging correlation risk?
Cousin, Areski; Crépey, Stéphane; Kan, Yu Hang - In: Review of derivatives research 15 (2012) 1, pp. 25-56
Persistent link: https://www.econbiz.de/10009627434
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Chapter 20. Credit Derivatives
Hull, John; White, Alan - 2013
This chapter explains how the main types of credit derivatives work and how they are valued. Central to the valuation of credit derivatives is an estimation of the probability that reference entities will default. The chapter discusses both the risk-neutral probabilities of default implied from...
Persistent link: https://www.econbiz.de/10014025358
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Informationally dynamized Gaussian copula
Crépey, S.; Jeanblanc, Monique; Wu, Dong Li - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10009748717
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Introducing an analytical solution and an improved one-factor gaussian copula model for the pricing of heterogeneous CDOs
Gao, Xin; Wu, Binlin; Schäfer, Tobias - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-17
Persistent link: https://www.econbiz.de/10011778286
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An improved framework for approximating option prices with application to option portfolio hedging
Mozumder, Sharif; Dempsey, Michael; Kabir, M. Humayun; … - In: Economic modelling 59 (2016), pp. 285-296
Persistent link: https://www.econbiz.de/10011647843
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Optimal delta hedging for options
Hull, John; White, Alan - In: Journal of banking & finance 82 (2017), pp. 180-190
Persistent link: https://www.econbiz.de/10011816799
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Delta hedging and volatility-price elasticity : a two-step approach
Xia, Kun; Yang, Xuewei; Zhu, Peng - In: Journal of banking & finance 153 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014490307
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A comparative static analysis approach to derive Greek letters : theory and applications
Lee, Cheng F. - 2024
Persistent link: https://www.econbiz.de/10015046857
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Modeling correlation structure for collateralized debt obligations
Ilalan, Deniz - In: International journal of financial research 6 (2015) 2, pp. 72-83
Persistent link: https://www.econbiz.de/10011404924
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Financial stochastic modeling and the subprime crisis
Latifa, Aitoutouhen; Faris, Hamza - In: International journal of economics, finance and … 4 (2016) 2, pp. 67-77
Persistent link: https://www.econbiz.de/10011657951