Performance of Delta-hedging strategies in interval models - A robustness study
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Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 1999-05.
Date of creation: 1999
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Web page: http://center.uvt.nl
hedging; volatility; option pricing;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Howe, M A & Rustem, B & Selby, M J P, 1994. "Minimax Hedging Strategy," Computational Economics, Society for Computational Economics, vol. 7(4), pages 245-75.
- Caravani, P., 1995. "On H[infin] criteria for macroeconomic policy evaluation," Journal of Economic Dynamics and Control, Elsevier, vol. 19(5-7), pages 961-984.
- Howe, M. A. & Rustem, B., 1997. "A robust hedging algorithm," Journal of Economic Dynamics and Control, Elsevier, vol. 21(6), pages 1065-1092, June.
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