Cutting the hedge
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Barone-Adesi, Giovanni
Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
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Elliott, Robert J.
Haskayne School of Business, University of Calgary, Calgary, Alberta, Canada
Published in:
- Computational economics. - Springer Netherlands. - 2007, vol. 29, no. 2, p. 151-159
English
Hedging equations from a method suggested by Barone-Adesi, Engle and Mancini, are presented and discussed. This model assumes the option price is homogeneous and the calculation is model independent, providing delta hedge ratios immediately from market data.
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Language
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Classification
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Economics
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License
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License undefined
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Persistent URL
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https://n2t.net/ark:/12658/srd1318161
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