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The illusions of dynamic replication

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  • Emanuel Derman
  • Nassim Nicholas Taleb

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  • Emanuel Derman & Nassim Nicholas Taleb, 2005. "The illusions of dynamic replication," Quantitative Finance, Taylor & Francis Journals, vol. 5(4), pages 323-326.
    • Handle: RePEc:taf:quantf:v:5:y:2005:i:4:p:323-326
    DOI: 10.1080/14697680500305105
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    References listed on IDEAS

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    1. Hakansson, Nils H., 1979. "The Fantastic World of Finance: Progress and the Free Lunch," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(4), pages 717-734, November.
    2. Stoll, Hans R, 1969. "The Relationship between Put and Call Option Prices," Journal of Finance, American Finance Association, vol. 24(5), pages 801-824, December.
    3. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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    Cited by:

    1. Kerry W. Fendick, 2013. "Pricing and Hedging Derivative Securities with Unknown Local Volatilities," Papers 1309.6164, arXiv.org, revised Oct 2013.
    2. Johannes Hendrik Venter & Pieter Juriaan De Jongh, 2022. "Trading Binary Options Using Expected Profit and Loss Metrics," Risks, MDPI, vol. 10(11), pages 1-21, November.
    3. Juliusz Jablecki & Robert Slepaczuk & Ryszard Kokoszczynski & Pawel Sakowski & Piotr Wojcik, 2014. "Does historical VIX term structure contain valuable information for predicting VIX futures?," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 14, pages 5-28.
    4. Nassim N. Taleb, 2014. "Risk Neutral Option Pricing With Neither Dynamic Hedging nor Complete Markets," Papers 1405.2609, arXiv.org, revised Oct 2014.
    5. Millo, Yuval & Schinckus, Christophe, 2016. "A nuanced perspective on episteme and techne in finance," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 124-130.
    6. Wallace, Rodrick & Fullilove, Robert E., 2014. "State policy and the political economy of criminal enterprise: mass incarceration and persistent organized hyperviolence in the USA," Structural Change and Economic Dynamics, Elsevier, vol. 31(C), pages 17-31.
    7. Ehret, Michael, 2014. "Financial socialism: The role of financial economics in economic disorganization," Journal of Business Research, Elsevier, vol. 67(1), pages 2686-2692.
    8. Thomas Mazzoni, 2018. "Asymptotic Expansion of Risk-Neutral Pricing Density," IJFS, MDPI, vol. 6(1), pages 1-26, March.
    9. Hansjörg Albrecher & Philipp Mayer, 2010. "Semi-Static Hedging Strategies For Exotic Options," World Scientific Book Chapters, in: Rüdiger Kiesel & Matthias Scherer & Rudi Zagst (ed.), Alternative Investments And Strategies, chapter 14, pages 345-373, World Scientific Publishing Co. Pte. Ltd..
    10. Y, Ivanenko. & B, Munier., 2012. "Price as a choice under nonstochastic randomness in finance," Working papers 381, Banque de France.
    11. Nassim Nicholas Taleb, 2015. "Unique Option Pricing Measure with neither Dynamic Hedging nor Complete Markets," European Financial Management, European Financial Management Association, vol. 21(2), pages 228-235, March.

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