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Performance of Delta-hedging strategies in interval models - A robustness study

Author

Listed:
  • Roorda, B.

    (Tilburg University, Center For Economic Research)

  • Engwerda, J.C.

    (Tilburg University, Center For Economic Research)

  • Schumacher, J.M.

    (Tilburg University, Center For Economic Research)

Abstract

No abstract is available for this item.

Suggested Citation

  • Roorda, B. & Engwerda, J.C. & Schumacher, J.M., 1999. "Performance of Delta-hedging strategies in interval models - A robustness study," Discussion Paper 1999-05, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:c7e49e9c-5532-4028-ac01-47cfcbb8a2c2
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    References listed on IDEAS

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    1. William M. McEneaney, 1997. "A Robust Control Framework for Option Pricing," Mathematics of Operations Research, INFORMS, vol. 22(1), pages 202-221, February.
    2. Howe, M. A. & Rustem, B., 1997. "A robust hedging algorithm," Journal of Economic Dynamics and Control, Elsevier, vol. 21(6), pages 1065-1092, June.
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    Cited by:

    1. Henry Lam & Zhenming Liu, 2014. "From Black-Scholes to Online Learning: Dynamic Hedging under Adversarial Environments," Papers 1406.6084, arXiv.org.

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