A Portfolio Approach to Risk Reduction in Discretely Rebalanced Option Hedges
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References listed on IDEAS
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- Miklavž Mastinšek, 2006. "Discrete–time delta hedging and the Black–Scholes model with transaction costs," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 64(2), pages 227-236, October.
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KeywordsOption Pricing; Discrete Rebalancing; Market Efficiency; Transaction Costs;
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