Time sensitivity of the Black-Scholes delta in discrete time (Q3656595)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5657778
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Time sensitivity of the Black-Scholes delta in discrete time |
scientific article; zbMATH DE number 5657778 |
Statements
13 January 2010
0 references
time sensitivity
0 references
Black-Scholes delta
0 references
European option
0 references
hedging error
0 references
0.8731162548065186
0 references
0.866504967212677
0 references
0.8058434724807739
0 references
0.7903556227684021
0 references
0.7719312310218811
0 references
