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In the complete market model of geometric Brownian motion, all kinds of exotic options can be priced and hedged perfectly using a delta hedging strategy which duplicates the option's payoff. If trading takes place in a frictionless market, this delta hedging strategy is said to eliminate the...
Persistent link: https://www.econbiz.de/10005390644
Persistent link: https://www.econbiz.de/10008218077
In the complete market model of geometric Brownian motion, all kinds of exotic options can be priced and hedged perfectly using a delta hedging strategy which duplicates the option's payoff. If trading takes place in a frictionless market, this delta hedging strategy is said to eliminate the...
Persistent link: https://www.econbiz.de/10012789860