haku: @journal_id 33 / yhteensä: 575
viite: 89 / 575
| Tekijä: | Gilster, J. Jr. |
| Otsikko: | Option pricing theory: is "risk-free" hedging feasible? |
| Lehti: | Financial Management
1997 : SPRING, VOL. 26:1, p. 91-105 |
| Asiasana: | FINANCIAL MANAGEMENT OPTION PRICES RISK |
| Kieli: | eng |
| Tiivistelmä: | This paper separates the risk of an unbalanced hedge into the risk of the perfectly balanced hedge which would exist if the hedge were rebalanced, plus the risk of the unhedged stock position which remains because the hedge was not rebalanced. The resulting risks are so large that for some of the longer rebalancing intervals suggested in the literature, the risk of a stock "hedged" by an option can exceed the risk of the unhedged stock position by itself. Instability of this magnitude in a risk-free hedge calls into question the applicability of theories based on such a hedge. |
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