The Extended Black-Scholes Model with-LAGS-and “Hedging Errors”

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, the...

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Bibliographic Details
Main Author: Bellalah, Mondher
Format: Article
Language:English
Published: Universiti Utara Malaysia Press 2003
Subjects:
Online Access:https://repo.uum.edu.my/id/eprint/25126/1/IJBF%201%202%202003%20111%20119.pdf