The Extended Black-Scholes Model with-LAGS-and “Hedging Errors”
The Black-Scholes model is derived under the assumption that heding is done instantaneously. In practice, there is a “small” time that elapses between buying or selling the option and hedging using the underlying asset. Under the following assumptions used in the standard Black-Scholes analysis, the...
Saved in:
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Universiti Utara Malaysia Press
2003
|
| Subjects: | |
| Online Access: | http://repo.uum.edu.my/25126/1/IJBF%201%202%202003%20111%20119.pdf http://repo.uum.edu.my/25126/ http://ijbf.uum.edu.my/index.php/previous-issues/132-the-international-journal-of-banking-and-finance-ijbf-vol-1-no-2-june-december-2003 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|