Delta Hedging without the Black-Scholes Formula
最优化与控制
2008-12-02 v2 证券定价
摘要
We introduce a new method of delta hedging. In many cases, this method results in a lower cost than the Black-Scholes method. To calculate the cost of hedging, we develop a Mathematica program that include the two-dimensional Newton-Raphson method.
引用
@article{arxiv.math/0703714,
title = {Delta Hedging without the Black-Scholes Formula},
author = {Yukio Hirashita},
journal= {arXiv preprint arXiv:math/0703714},
year = {2008}
}
备注
5 pages Ver. 2: In addition, when K=35 (deep in the money), the difference between these costs is within 0.1%