Delta-hedging Strategy with Hitting Probability
碩士 === 國立高雄大學 === 金融管理學系碩士班 === 107 === This dissertation offers a delta-hedging strategy which not only reduces transaction costs, but also remains hedging performance. The strategy takes into account hitting probability to estimate the price at which wealth should be rebalanced. It requires only b...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2019
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| Online Access: | http://ndltd.ncl.edu.tw/handle/f4b7np |