| Tekijä: | Gilster, J.E. |
| Otsikko: | The systematic risk of discretely rebalanced option hedges |
| Lehti: | Journal of Financial and Quantitative Analysis
1990 : DEC, VOL. 25:4, p. 507-516 |
| Asiasana: | HEDGING RISK SHARE PRICES |
| Kieli: | eng |
| Tiivistelmä: | A demonstration that option pricing model hedge positions can exhibit risk. Black-Scholes option pricing model. Theory. Option hedge systematic risk. Closed form derivation. Implications. Option betas. Spread betas. Discrete interval hedging. Theoretical literature. Empirical literature. Two Tables illustrate the study. |
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