Immunizing options against changes in volatility
By: Sherrill Shaffer
Contributors: Federal Reserve Bank of Philadelphia
Series: Working paper -- no. 90-5; Working paper (Federal Reserve Bank of Philadelphia) -- no. 90-5
Publisher: Federal Reserve Bank of Philadelphia
Published: 1989
Place of publication: [Philadelphia]
Language: eng
Number of pages: 23
Subjects: Options (Finance) -- Mathematical models
Notes: "November 1989."

Bibliography: p. 14-15