A Note on Hedging Errors in Discretely Hedged Options and Portfolios

Author:

Rojek Yury,Wilmott Paul

Publisher

Wiley

Reference13 articles.

1. Ahmad , R. Wilmott , P. 2005 Which Free Lunch Would You Like Today, Sir?: Delta Hedging, Volatility Arbitrage and Optimal Portfolios. Wilmott magazine November

2. A Note on Hedging: Restricted but Optimal Delta Hedging, Mean, Variance, Jumps, Stochastic Volatility, and Costs;Ahn;Wilmott Journal,2009

3. Alexander , C. Nogueira , L.M. 2005 Optimal Hedging and Scale Invariance: A Taxonomy of Option Pricing Models. http://ssrn.com/abstract=763204

4. Angelini , F. Herzel , S. 2007 Measuring the Error of Dynamic Hedging: A Laplace Transform Approach. Quaderni del Dipartimento di Economia, Finanza e Statistica

5. Discretely Adjusted Option Hedges;Boyle;Journal of Financial Economics,1980

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