A Portfolio Approach to Risk Reduction in Discretely Rebalanced Option Hedges
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DOI: 10.1287/mnsc.44.7.921
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References listed on IDEAS
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Cited by:
- Luca Di Persio & Luca Prezioso & Kai Wallbaum, 2019. "Closed-End Formula for options linked to Target Volatility Strategies," Papers 1902.08821, arXiv.org.
- 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.
- Cheng Cai & Tiziano De Angelis & Jan Palczewski, 2020. "Optimal hedging of a perpetual American put with a single trade," Papers 2003.06249, arXiv.org, revised Sep 2020.
- 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.
- Borochin, Paul & Wu, Zekun & Zhao, Yanhui, 2021. "The effect of option-implied skewness on delta- and vega-hedged option returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
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Keywords
Option Pricing; Discrete Rebalancing; Market Efficiency; Transaction Costs;All these keywords.
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