A Model-Free Approach to Delta Hedging

We utilize the existence of trends for financial time series (Fliess M., Join C.: A Mathematical Proof of the Existence of Trends in Financial Time Series, http://ssrn.com/abstract=1459662) in order to propose a model-free setting for delta hedging. It avoids most of the shortcomings encountered with the now classic Black-Scholes framework. Several convincing computer simulations are presented. Some of them are dealing with abrupt changes, i.e., jumps

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Year of publication:	2010
Authors:	Join, Cédric ; Fliess, Michel
Publisher:	[S.l.] : SSRN

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Extent:	1 Online-Ressource (9 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 23, 2010 erstellt
Other identifiers:	10.2139/ssrn.1557595 [DOI]
Classification:	C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications ; C67 - Input-Output Models ; G11 - Portfolio Choice ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014197664