Cutting the hedge
- Barone-Adesi, Giovanni Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
- Elliott, Robert J. Haskayne School of Business, University of Calgary, Calgary, Alberta, Canada
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2007
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.
- Language
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- English
- Classification
- Economics
- License
- License undefined
- Identifiers
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- RERO DOC 17368
- DOI 10.1007/s10614-006-9069-8
- ARK ark:/12658/srd1318161
- Persistent URL
- https://n2t.net/ark:/12658/srd1318161
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