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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| Format: | Article |
| Language: | English |
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Universiti Utara Malaysia Press
2003
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| Online Access: | https://repo.uum.edu.my/id/eprint/25126/1/IJBF%201%202%202003%20111%20119.pdf |