The cost of risk and option hedging in incomplete markets


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Minina, Vera (2008) The cost of risk and option hedging in incomplete markets. thesis.

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Abstract:In practice the hedging process does not satisfy the assumptions of the
Black-Scholes model. Traders do not hedge continuously because of transaction
costs and time constraints and often do not choose low risk over a high
but risky profit. The goal of this thesis is to construct a model reflecting
these aspects of option hedging in real life.
Item Type:Thesis
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Link to this item:http://purl.utwente.nl/publications/58406
Official URL:http://dx.doi.org/10.3990/1.9789036526111
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