An Analysis of the Risk in Discretely Rebalanced Option Hedges and Delta-Based Techniques
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- Robert F. Engle & Joshua V. Rosenberg, 1995. "GARCH Gamma," NBER Working Papers 5128, National Bureau of Economic Research, Inc.
- Joshua V. Rosenberg & Robert F. Engle, 1997. "Option Hedging Using Empirical Pricing Kernels," NBER Working Papers 6222, National Bureau of Economic Research, Inc.
- Balder, Sven & Brandl, Michael & Mahayni, Antje, 2009. "Effectiveness of CPPI strategies under discrete-time trading," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 204-220, January.
- N. Chidambaran, 2007. "Density estimation through quasi-analytic Monte-Carlo simulation: Options arbitrage with transactions costs," Review of Quantitative Finance and Accounting, Springer, vol. 28(1), pages 101-122, January.
- Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
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Keywordshedge; option; delta; discrete rebalancing;
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