Volatility-invariant hedging

DOI10.1016/0165-1765(89)90069-4zbMath1328.91280OpenAlexW1989832707MaRDI QIDQ902639

Sherrill Shaffer

Publication date: 1 January 2016

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(89)90069-4

Mathematics Subject Classification ID

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

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