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

B. Roorda, J.C. Engwerda, J.M. Schumacher

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Name	CentER Discussion Paper
Volume	1999-05

Keywords

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title = "Performance of Delta-hedging strategies in interval models - A robustness study",

keywords = "hedging, volatility, option pricing",

author = "B. Roorda and J.C. Engwerda and J.M. Schumacher",

note = "Pagination: 14",

year = "1999",

language = "English",

volume = "1999-05",

series = "CentER Discussion Paper",

publisher = "Macroeconomics",

type = "WorkingPaper",

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TY - UNPB

T1 - Performance of Delta-hedging strategies in interval models - A robustness study

AU - Roorda, B.

AU - Engwerda, J.C.

AU - Schumacher, J.M.

N1 - Pagination: 14

PY - 1999

Y1 - 1999

KW - hedging

KW - volatility

KW - option pricing

M3 - Discussion paper

VL - 1999-05

T3 - CentER Discussion Paper

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

PB - Macroeconomics

CY - Tilburg

ER -