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...
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Format: | Article |
Language: | English |
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Universiti Utara Malaysia Press
2003
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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 |
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