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 paperProfessional

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

Publication series

NameTI Discussion Paper
No.TI 2003 90/2

Cite this

Peeters, B., Dert, C. L., & Lucas, A. (2003). Black Scholes for portfolios of options in discrete time: the price is right, the hedge is wrong. (TI Discussion Paper; No. TI 2003 90/2). Amsterdam: Tinbergen Instituut (TI).
Peeters, B. ; Dert, C.L. ; Lucas, A. / Black Scholes for portfolios of options in discrete time: the price is right, the hedge is wrong. Amsterdam : Tinbergen Instituut (TI), 2003. (TI Discussion Paper; TI 2003 90/2).
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Peeters, B, Dert, CL & Lucas, A 2003 'Black Scholes for portfolios of options in discrete time: the price is right, the hedge is wrong' TI Discussion Paper, no. TI 2003 90/2, Tinbergen Instituut (TI), Amsterdam.

Black Scholes for portfolios of options in discrete time: the price is right, the hedge is wrong. / Peeters, B.; Dert, C.L.; Lucas, A.

Amsterdam : Tinbergen Instituut (TI), 2003. (TI Discussion Paper; No. TI 2003 90/2).

Research output: Working paperProfessional

TY - UNPB

T1 - Black Scholes for portfolios of options in discrete time: the price is right, the hedge is wrong

AU - Peeters, B.

AU - Dert, C.L.

AU - Lucas, A.

PY - 2003

Y1 - 2003

M3 - Working paper

T3 - TI Discussion Paper

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

PB - Tinbergen Instituut (TI)

CY - Amsterdam

ER -

Peeters B, Dert CL, Lucas A. Black Scholes for portfolios of options in discrete time: the price is right, the hedge is wrong. Amsterdam: Tinbergen Instituut (TI). 2003. (TI Discussion Paper; TI 2003 90/2).