Delta Hedging IO Securities Backed by Senior Life Settlements

Charles A Stone; Anne Zissu

doi:10.3905/JSF.2009.15.2.093

Delta Hedging IO Securities Backed by Senior Life Settlements

Charles A Stone and Anne Zissu

The Journal of Structured Finance Summer 2009, 15 (2) 93-100; DOI: https://doi.org/10.3905/JSF.2009.15.2.093

Charles A Stone

is a professor in the department of economics, Brooklyn College, City University of New York in Brooklyn, NY.

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For correspondence: zfinance@interserv.com

Anne Zissu

is the chair of the department of business at CityTech, City University of New York, and research fellow in the department of financial engineering, The Polytechnic Institute of New York University in Brooklyn, NY.

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For correspondence: zissu@sprynet.com

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Delta Hedging IO Securities Backed by Senior Life Settlements

Charles A Stone, Anne Zissu

The Journal of Structured Finance Jul 2009, 15 (2) 93-100; DOI: 10.3905/JSF.2009.15.2.093

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Delta Hedging IO Securities Backed by Senior Life Settlements

Charles A Stone, Anne Zissu

The Journal of Structured Finance Jul 2009, 15 (2) 93-100; DOI: 10.3905/JSF.2009.15.2.093

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The Effect of Probabilistic and Stochastic Valuations * versus a Deterministic Valuation of Securitized Senior * Life Settlements on the Level of Liquidity Facility

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