The Extended Black-Scholes Model with-LAGS-and “Hedging Errorsâ€
The Black-Scholes model is derived under the assumption that heding is done instantaneously. In practice, there is a “small†time that elapses between buying or selling the option and hedging using the underlying asset. Under the following assumptions used in the standard Black-Scholes analysis,...
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| Format: | Article |
| Language: | English |
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Universiti Utara Malaysia
2003-08-01
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| Series: | The International Journal of Banking and Finance |
| Online Access: | https://www.e-journal.uum.edu.my/index.php/ijbf/article/view/8337 |