A Portfolio Approach to Risk Reduction in Discretely Rebalanced Option Hedges
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Bas Peeters & Cees L. Dert & André Lucas, 2003. "Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong," Tinbergen Institute Discussion Papers 03-090/2, Tinbergen Institute.
More about this item
KeywordsOption Pricing; Discrete Rebalancing; Market Efficiency; Transaction Costs;
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