Modification terms to the Black–Scholes model in a realistic hedging strategy with discrete temporal steps
Sign Up to like & getrecommendations! Published in 2019 at "International Journal of Computer Mathematics"
DOI: 10.1080/00207160.2018.1542135
Abstract: ABSTRACT Option pricing models generally require the assumption that stock prices are described by continuous-time stochastic processes. Although the time-continuous trading is easy to conceive theoretically, it is practically impossible to execute in real markets.… read more here.
Keywords: hedging strategy; black scholes; time; realistic hedging ... See more keywords