La sensibilità del premio delle opzioni: il delta, gamma, theta, vega e rho delle opzioni sui BTP futures

Translated title of the contribution: [Autom. eng. transl.] The sensitivity of the options premium: the delta, gamma, theta, vega and rho of the options on BTP futures

Roberto Moro Visconti, Schlesinger Federico

Research output: Contribution to journalArticle

Abstract

[Autom. eng. transl.] sensitivity of derivatives to interest rates
Translated title of the contribution[Autom. eng. transl.] The sensitivity of the options premium: the delta, gamma, theta, vega and rho of the options on BTP futures
Original languageItalian
Pages (from-to)753-791
Number of pages39
JournalIL RISPARMIO
Publication statusPublished - 1993

Keywords

  • derivati
  • duration

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