The researchers note that the Black-Scholes model was developed in the 1970s to price simple call and put options, and a key point of the model was that market makers could delta hedge – cancel out ...
NZGB-swap spreads tend to become more volatile during periods of global sovereign bond market illiquidity and moved persistently higher after the Global Financial Crisis. The increase in NZGB-swap ...
NZGB-swap spreads tend to become more volatile during periods of global sovereign bond market illiquidity and moved ...
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