Calculation and comparison of delta-neutral and multiple-Greek dynamic hedge returns inclusive of market frictions
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Bibliographic InfoArticle provided by Elsevier in its journal International Review of Economics & Finance.
Volume (Year): 12 (2003)
Issue (Month): 2 ()
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Web page: http://www.elsevier.com/locate/inca/620165
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Boyle, Phelim P. & Emanuel, David, 1980. "Discretely adjusted option hedges," Journal of Financial Economics, Elsevier, vol. 8(3), pages 259-282, September.
- Christoph Gallus, 1999. "Exploding hedging errors for digital options," Finance and Stochastics, Springer, vol. 3(2), pages 187-201.
- Leland, Hayne E, 1985.
" Option Pricing and Replication with Transactions Costs,"
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- Hayne E. Leland., 1984. "Option Pricing and Replication with Transactions Costs," Research Program in Finance Working Papers 144, University of California at Berkeley.
- Clewlow, Les & Hodges, Stewart, 1997. "Optimal delta-hedging under transactions costs," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1353-1376, June.
- Barone-Adesi, Giovanni & Whaley, Robert E, 1987. " Efficient Analytic Approximation of American Option Values," Journal of Finance, American Finance Association, vol. 42(2), pages 301-20, June.
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