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
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- Christoph Gallus, 1999. "Exploding hedging errors for digital options," Finance and Stochastics, Springer, vol. 3(2), pages 187-201.
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