Option pricing with discrete rebalancing

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Option pricing with discrete rebalancing

Author Info

Prigent, Jean-Luc
Renault, Olivier
Scaillet, Olivier

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Abstract

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Publisher Info
Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 11 (2004)
Issue (Month): 1 (January)
Pages: 133-161
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Handle: RePEc:eee:empfin:v:11:y:2004:i:1:p:133-161

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Paper
- Jean-Luc PRIGENT & Olivier RENAULT & Olivier SCAILLET, 2002. "Option Pricing with Discrete Rebalancing," FAME Research Paper Series rp55, International Center for Financial Asset Management and Engineering. [Downloadable!]
- J.L. Prigent & O. Renault & O. Scaillet., 1999. "Option pricing with discrete rebalancing," THEMA Working Papers 99-41, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Jean -Luc Prigent ; Olivier Renault ; Olivier Scaillet, . "Option Pricing with Discrete Rebalancing," Working Papers 99-61, Centre de Recherche en Economie et Statistique. [Downloadable!]
- Prigent, J.-L. & Renault, O. & Scaillet, O., 1999. "Option Pricing with Discrete Rebalancing," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1999029, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Oct 1999. [Downloadable!]

Cited by:
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J.L. Prigent & O. Scaillet, 2000. "Weak Convergence of Hedging Strategies of Contingent Claims," THEMA Working Papers 2000-50, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
Other versions:
- Jean-Luc PRIGENT & Olivier SCAILLET, 2002. "Weak Convergence of Hedging Strategies of Contingent Claims," FAME Research Paper Series rp39, International Center for Financial Asset Management and Engineering. [Downloadable!]

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This page was last updated on 2009-12-30.

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