Market Volatility and Feedback Effects from Dynamic Hedging

DOI10.1111/1467-9965.00036zbMath1020.91023MaRDI QIDQ2707184

Rüdiger Frey, Alexander Stremme

Publication date: 29 March 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00036

zbMATH Keywords

option pricing; Black-Scholes model; dynamic hedging; valatility

Mathematics Subject Classification ID

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

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