20.500.12556/DKUM-23943 Time sensitivity of the Black-Scholes delta in discrete time In the case of discrete trading the Black-Scholes options delta sensitivity with respect to movements of the stock price has been widely considered in the theory and practice, while the option's delta sensitivity with respect to time has been rarely considered. The objective of this paper is to analyze the time sensitivity of delta in discrete time.An example of the European call option is given. In the case where the delta is more sensitive with respect to time a simple explicit formula for a discrete time Black-Scholes delta is provided. The order of the hedging error is preserved. In many cases the absolute value of the hedging error can be reduced. modeli matematika ekonometrija transakcije stroški true false false Angleški jezik Angleški jezik Neznano 2012-05-28 15:22:32 2012-05-28 15:22:32 2022-04-14 03:44:30 2024-01-01 03:26:04 2008 0 0 0000-00-00 NiDoloceno NiDoloceno NiDoloceno 0000-00-00 0000-00-00 0000-00-00 519.8 14786137 URN:SI:UM:DK:JCT2SCGC http://oliver.efpu.hr/koi06/koi06_proceedings.pdf 1 https://dk.um.si/Dokument.php?lang=slv&id=31625 Ekonomsko-poslovna fakulteta 0 0 0