search query: @author Duque, J. / total: 2
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Author: | Duque, J. Paxson, Dean |
Title: | Dynamic Hedging of Equity Call Options |
Journal: | Estudos de Gestao
1993 : -94 WINT., 1:2, p.83-92 |
Index terms: | OPTIONS |
Language: | eng |
Abstract: | Models for option pricing assume that options can be repli- cate by dynamic hedging in the underlying stock. The possibility of successfully replicate call options on LIFE equities over a sample period by the use of simple and com- plex hedging is examined, and the effectiveness of different hedging techniques is compared. |
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