Black Scholes for portfolios of options in discrete time: the price is right, the hedge is wrong

B. Peeters, C.L. Dert, A. Lucas

Research output: Working paper / PreprintWorking paperProfessional

200 Downloads (Pure)
Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Instituut (TI)
Publication statusPublished - 2003

Publication series

NameTI Discussion Paper
No.TI 2003 90/2

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