Delta hedging strategies comparison

European Journal of Operational Research

Volumn 185, Issue 3, 2008, Pages 1615-1631

  De Giovanni, Domenico ^d   Ortobelli, Sergio ^a   Rachev, Svetlozar ^b,c  

^a UNIVERSITY OF BERGAMO   (Italy)

^b UNIVERSITY OF KARLSRUHE   (Germany)

^c UNIVERSITY OF CALIFORNIA   (United States)

^d UNIVERSITY OF CALABRIA   (Italy)

Author keywords

Delta hedging; Incomplete markets; Option pricing; Stable motion; Subordinated models

Indexed keywords

FINANCIAL DATA PROCESSING; MATHEMATICAL MODELS; OPERATIONS RESEARCH; STRATEGIC PLANNING;

DELTA HEDGING; INCOMPLETE MARKETS; OPTION PRICING; STABLE MOTION; SUBORDINATED MODELS;

COST ACCOUNTING;

EID: 34848893340     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2006.08.019     Document Type: Article

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