Delta-hedging vega risk? (Q4610265)
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scientific article; zbMATH DE number 7002156
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Delta-hedging vega risk? |
scientific article; zbMATH DE number 7002156 |
Statements
15 January 2019
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options
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delta-neutral dynamic hedging
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barrier options
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local volatility
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transaction costs
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Delta-hedging vega risk? (English)
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0.7697116732597351
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0.7643384337425232
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0.7549768686294556
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0.7496672868728638
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