haku: @journal_id 62 / yhteensä: 680
viite: 137 / 680
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. |
SCIMA