An Analysis of the Risk in Discretely Rebalanced Option Hedges and Delta-Based Techniques
Year of publication: |
1994
|
---|---|
Authors: | Robins, Russell P. ; Schachter, Barry |
Published in: |
Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 40.1994, 6, p. 798-808
|
Publisher: |
Institute for Operations Research and the Management Sciences - INFORMS |
Subject: | hedge | option | delta | discrete rebalancing |
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