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Title:
Time sensitivity of the Black-Scholes delta in discrete time
Authors:
ID
Mastinšek, Miklavž
(
Author
)
Files:
http://oliver.efpu.hr/koi06/koi06_proceedings.pdf
Language:
English
Work type:
Unknown
Typology:
1.08 - Published Scientific Conference Contribution
Organization:
EPF - Faculty of Business and Economics
Abstract:
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.
Year of publishing:
2008
PID:
20.500.12556/DKUM-23943
UDC:
519.8
COBISS.SI-ID:
14786137
NUK URN:
URN:SI:UM:DK:JCT2SCGC
Publication date in DKUM:
28.05.2012
Views:
1087
Downloads:
98
Metadata:
Categories:
Misc.
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Secondary language
Language:
English
Keywords:
modeli
,
matematika
,
ekonometrija
,
transakcije
,
stroški
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