Performance of Delta-hedging strategies in interval models - A robustness study
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- 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.
References listed on IDEAS
- William M. McEneaney, 1997. "A Robust Control Framework for Option Pricing," Mathematics of Operations Research, INFORMS, vol. 22(1), pages 202-221, February.
- 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:
- 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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