Trabelsi, Faouzi; Trad, Abdelhamid - In: Applied Mathematical Finance 9 (2002) 3, pp. 189-217
In the setting of the Black-Scholes option pricing market model, the seller of a European option must trade continuously in time. This is, of course, unrealistic from the practical viewpoint. He must then follow a discrete trading strategy. However, it does not seem natural to hedge at...