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Calculation and comparison of delta-neutral and multiple-Greek dynamic hedge returns inclusive of market frictions

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  • Meyer, Thomas O.
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    File URL: http://www.sciencedirect.com/science/article/B6W4V-4805W7F-1/2/4b9f264a3619f86307902f63012febfc
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    Article provided by Elsevier in its journal International Review of Economics & Finance.

    Volume (Year): 12 (2003)
    Issue (Month): 2 ()
    Pages: 207-235

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    Handle: RePEc:eee:reveco:v:12:y:2003:i:2:p:207-235

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    Web page: http://www.elsevier.com/locate/inca/620165

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    1. Christoph Gallus, 1999. "Exploding hedging errors for digital options," Finance and Stochastics, Springer, vol. 3(2), pages 187-201.
    2. Leland, Hayne E, 1985. " Option Pricing and Replication with Transactions Costs," Journal of Finance, American Finance Association, vol. 40(5), pages 1283-1301, December.
    3. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    4. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    5. 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.
    6. 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.
    7. Boyle, Phelim P. & Emanuel, David, 1980. "Discretely adjusted option hedges," Journal of Financial Economics, Elsevier, vol. 8(3), pages 259-282, September.
    8. Black, Fischer & Scholes, Myron S, 1972. "The Valuation of Option Contracts and a Test of Market Efficiency," Journal of Finance, American Finance Association, vol. 27(2), pages 399-417, May.
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