Delta hedging and return

MaRDI QIDQ3575791zbMATH OpenFDO

Authors Miklavž Mastinšek

Publication date 28 July 2010

zbMATH Keywords

delta hedgingderivativestransaction costs

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Discrete-time delta hedging and the Black-Scholes model with transaction costs
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• Optimal hedging in discrete time

Cited in

(7)

• Conservative delta hedging.
• Time sensitivity of the Black-Scholes delta in discrete time
• An Analysis of the Risk in Discretely Rebalanced Option Hedges and Delta-Based Techniques
• On the Delta-hedging of the option price on future from the Black-Scholes equation
• scientific article; zbMATH DE number 5234243 (Why is no real title available?)
• Hedging and the mean absolute return
• Discrete-time delta hedging and the Black-Scholes model with transaction costs

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