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Delta hedging a portfolio of servicing rights under gamma a..:
Zissu, Anne
;
Ortiz, Carlos
;
Stone, Charles
The Journal of Risk Finance. 11 (2010) 4 - p. 377-400 , 2010
Link:
https://doi.org/10.1108/15265941011071511
RT Journal T1
Delta hedging a portfolio of servicing rights under gamma and vega constraints with optimal fixed income securities
UL https://suche.suub.uni-bremen.de/peid=cr-10.1108_15265941011071511&Exemplar=1&LAN=DE A1 Zissu, Anne A1 Ortiz, Carlos A1 Stone, Charles PB Emerald YR 2010 SN 1526-5943 JF The Journal of Risk Finance VO 11 IS 4 SP 377 OP 400 LK http://dx.doi.org/https://doi.org/10.1108/15265941011071511 DO https://doi.org/10.1108/15265941011071511 SF ELIB - SuUB Bremen
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