Facoltà di scienze economiche

Cutting the hedge

Barone-Adesi, Giovanni ; Elliott, Robert J.

In: Computational economics, 2007, vol. 29, no. 2, p. 151-159

Hedging equations from a method suggested by Barone-Adesi, Engle and Mancini, are presented and discussed. This model assumes the option price is homogeneous and the calculation is model independent, providing delta hedge ratios immediately from market data. Plus

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    Summary
    Hedging equations from a method suggested by Barone-Adesi, Engle and Mancini, are presented and discussed. This model assumes the option price is homogeneous and the calculation is model independent, providing delta hedge ratios immediately from market data.