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

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

Research output: Working paperDiscussion paperOther research output

447 Downloads (Pure)
Original languageEnglish
Place of PublicationTilburg
PublisherMacroeconomics
Number of pages14
Volume1999-05
Publication statusPublished - 1999

Publication series

NameCentER Discussion Paper
Volume1999-05

Keywords

  • hedging
  • volatility
  • option pricing

Cite this

Roorda, B., Engwerda, J. C., & Schumacher, J. M. (1999). Performance of Delta-hedging strategies in interval models - A robustness study. (CentER Discussion Paper; Vol. 1999-05). Macroeconomics.