We also present results for options on the S&P 100, the Dow Jones, individual stocks, and commodity and interest-rate ETFs.doi:10.2139/ssrn.2658343Hull, JohnUniv TorontoWhite, AlanUniv TorontoSocial Science Electronic PublishingHull, J. C. and A. White "Optimal Delta Hedging for Options". ...
A hurdle return is employed to assess bounding values of options that reflect hedging costs, the inevitable hedge slippage, & transaction costs. The hurdle return can also be used to make relative-value inferences (e.g., by comparing to the return-risk profile of a delta-1 position in the...
Investors can choose whether to exercise or not according to the true market situation, so investors can better avoid the risks in market, which proves that American options can better realize hedging, thereby increase investors’ returns. At present, scholars’ researches on American options mainly...
Optimal hedging of a perpetual American put with a single trade It is well-known that using delta hedging to hedge financial options is not feasible in practice. Traders often rely on discrete-time hedging strategies based on fixed trading times or fixed trading prices (i.e., trades only occu...
$$\begin{aligned}&(\Delta \log (P_{t}),\Delta \Gamma _{0,t},\Delta \Gamma _{1,t},\Delta \Gamma _{2,t}) \\&\quad := \left( \log (P_{t})-\log ({\hat{P}}_{t}),\frac{\Gamma _{0,t}}{P_{t}}- \frac{{\hat{\Gamma }}_{0,t}}{{\hat{P}}_{t}},\frac...
SP Singh - American Association for Artificial Intelligence 被引量: 178发表: 1994年 Hedging under arbitrage It is shown that delta hedging provides the optimal trading strategy in terms of minimal required initial capital to replicate a given terminal payoff in a... J Ruf - 《Mathematical Finance...
technology, economics and finance. in particular, such methods have been applied to various problems in mathematical finance such as pricing, hedging and calibration. we refer for instance to the articles buehler et al. [ 14 ], becker et al. [ 7 , 8 ], cuchiero et al. [ 17 ]...
The "practitioner Black-Scholes delta" for hedging options is a delta calculated from the Black-Scholes-Merton model (or one of its extensions) with the volatilHull, John C.White, AlanSocial Science Electronic PublishingHull, J. C. and A. White "Optimal Delta Hedging for Options". Rotman ...
One of the key implications of the widely used Black and Scholes (1973) option pricing model is that the pay-off of an option can be perfectly replicated by a dynamic strategy involving the underlying asset, where the number of shares of the underlying to be held is adjusted continuously ...
We derive a simple expression for the 'hedging bandwidth' around the Black鈥揝choles delta; this is the region in which it is optimal not to rehedge. The effect of the costs on the value of the option, and on the width of this hedging band is of a significantly greater order of ...