A Modified Equally Probability-spaced Static Hedging Method
碩士 === 國立臺灣大學 === 財務金融學研究所 === 101 === This paper further adjusts the static replication method of Derman, Ergenger,and Kani. (1995, DEK) and modi ed DEK method of Chung, Shin, and Tsai. (2010,modi ed DEK) to reduce hedging errors. Chung et al. hedge continuous barrier options under the Black and Sc...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/a7263q |