Derman and Taleb's 'The illusions of dynamic replication': a comment
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DOI: 10.1080/14697680600868283
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- Doriana Ruffino & Jonathan Treussard, 2006. "Derman and Taleb's The Illusions of Dynamic Replication: A Comment," Boston University - Department of Economics - Working Papers Series WP2006-019, Boston University - Department of Economics.
References listed on IDEAS
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Cited by:
- Nassim N. Taleb, 2014. "Risk Neutral Option Pricing With Neither Dynamic Hedging nor Complete Markets," Papers 1405.2609, arXiv.org, revised Oct 2014.
- Haug, Espen Gaarder & Taleb, Nassim Nicholas, 2011. "Option traders use (very) sophisticated heuristics, never the Black-Scholes-Merton formula," Journal of Economic Behavior & Organization, Elsevier, vol. 77(2), pages 97-106, February.
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