The interpolation of options

• 1 October 2003
• journal article
• Published by Springer Nature in Finance and Stochastics
• Vol. 7  (4) , 417-432
• https://doi.org/10.1007/s007800200093

Abstract

Keywords

• VALUE AT RISK
• INCOMPLETENESS
• CONSERVATIVE DELTA HEDGING
• STATISTICAL UNCERTAINTY
• TRADING STRATEGY
• TERM STRUCTURE
• INTEREST RATE
• RISK MANAGEMENT