SENSITIVITIES AND HEDGING OF THE COLLATERAL CHOICE OPTION

DOI10.1142/S0219024922500273OpenAlexW4293801649MaRDI QIDQ5048585

Griselda Deelstra, Felix Wolf, Lech A. Grzelak

Publication date: 16 November 2022

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2207.10373

zbMATH Keywords

static hedgingCSAcheapest-to-deliver collateralcollateral choice optioncurrency spreadsminimal-variance hedging

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Interest rate models -- theory and practice. With smile, inflation and credit
• Valuation and Hedging of Contracts with Funding Costs and Collateralization
• Cheapest-to-deliver collateral: a common factor approach
• Mathematical Modeling and Computation in Finance

This page was built for publication: SENSITIVITIES AND HEDGING OF THE COLLATERAL CHOICE OPTION