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Delta-hedging vega risk? - MaRDI portal

Delta-hedging vega risk? (Q4610265)

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scientific article; zbMATH DE number 7002156
Language Label Description Also known as
English
Delta-hedging vega risk?
scientific article; zbMATH DE number 7002156

    Statements

    author
    Stéphane Crépey
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    publication date
    15 January 2019
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    zbMATH Keywords
    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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    title
    Delta-hedging vega risk? (English)
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    cites work
    Q4949414
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    Q2725576
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    Q4509488
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    Q4905685
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    Identifiers

    zbMATH DE Number
    7002156
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    OpenAlex ID
    W2013757515
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