Reevaluating hedging performance
نویسندگان
چکیده
منابع مشابه
Performance of hedging strategies in interval models
For a proper assessment of risks associated with the trading of derivatives, the performance of hedging strategies should be evaluated not only in the context of the idealized model that has served as the basis of strategy development, but also in the context of other models. In this paper we consider the class of so-called interval models as a possible testing ground. In the context of such mo...
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ژورنال
عنوان ژورنال: Journal of Futures Markets
سال: 2006
ISSN: 0270-7314,1096-9934
DOI: 10.1002/fut.20212