Dynamic delta hedging of autocallables under a discrete rebalancing context
This work tests different delta hedging strategies for two products issued by Banco de Investimento Global in 2012. The work studies the behaviour of the delta and gamma of autocallables and their impact on the results when delta hedging with different rebalancing periods. Given its discontinuous pa...
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| Format: | masterThesis |
| Language: | eng |
| Published: |
2016
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| Online Access: | http://hdl.handle.net/10362/15387 |
| Country: | Portugal |
| Oai: | oai:run.unl.pt:10362/15387 |