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Dynamic greeks

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  • Norberg, Ragnar

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  • Norberg, Ragnar, 2006. "Dynamic greeks," Insurance: Mathematics and Economics, Elsevier, vol. 39(1), pages 123-133, August.
    • Handle: RePEc:eee:insuma:v:39:y:2006:i:1:p:123-133
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    References listed on IDEAS

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    1. Gerber, Hans U. & Shiu, Elias S. W., 1996. "Actuarial bridges to dynamic hedging and option pricing," Insurance: Mathematics and Economics, Elsevier, vol. 18(3), pages 183-218, November.
    2. Norberg, Ragnar, 2003. "The Markov Chain Market," ASTIN Bulletin, Cambridge University Press, vol. 33(2), pages 265-287, November.
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