Alle boeken

Professioneel

Apps Over Coach Inloggen Begin met lezen

Quantitative Finance · Begrippenlijst

Wat is Convertible delta hedge?

Definition 8.2 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Hoofdstuk 8 — Convertible Arbitrage

A convertible delta hedge is a short position in the issuer’s shares equal to the convertible’s delta, rebalanced as the delta changes, so that the position’s value does not move with small share-price changes and its P&L comes from gamma, carry, credit and the bond’s cheapness.

Lees in het hoofdstuk →