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

442 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). Tilburg: Macroeconomics.
Roorda, B. ; Engwerda, J.C. ; Schumacher, J.M. / Performance of Delta-hedging strategies in interval models - A robustness study. Tilburg : Macroeconomics, 1999. (CentER Discussion Paper).
@techreport{c7e49e9c55324028ac0147cfcbb8a2c2,
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",
institution = "Macroeconomics",

}

Roorda, B, Engwerda, JC & Schumacher, JM 1999 'Performance of Delta-hedging strategies in interval models - A robustness study' CentER Discussion Paper, vol. 1999-05, Macroeconomics, Tilburg.

Performance of Delta-hedging strategies in interval models - A robustness study. / Roorda, B.; Engwerda, J.C.; Schumacher, J.M.

Tilburg : Macroeconomics, 1999. (CentER Discussion Paper; Vol. 1999-05).

Research output: Working paperDiscussion paperOther research output

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 -

Roorda B, Engwerda JC, Schumacher JM. Performance of Delta-hedging strategies in interval models - A robustness study. Tilburg: Macroeconomics. 1999. (CentER Discussion Paper).