"Model uncertainty, recalibration, and the emergence of delta-vega hedging."

Sebastian Herrmann, Johannes Muhle-Karbe (2017)

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DOI: 10.1007/S00780-017-0342-6

access: closed

type: Journal Article

metadata version: 2020-07-22

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Sebastian Herrmann, Johannes Muhle-Karbe:
Model uncertainty, recalibration, and the emergence of delta-vega hedging. Finance Stochastics 21(4): 873-930 (2017)

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