9781334538742 - a portfolio approach to risk reduction in discretely rebalanced option hedges (classic reprint) di bhushan, ravi (3 risultati)
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Da: PBShop.store US, Wood Dale, IL, U.S.A.PBShop.store US
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PAP. Condizione: New. New Book. Shipped from UK. Established seller since 2000.
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Da: PBShop.store UK, Fairford, GLOS, Regno UnitoPBShop.store UK
Contatta il venditoreVenditore con 5 stelleCondizione: Nuovo
EUR 24,37
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PAP. Condizione: New. New Book. Shipped from UK. Established seller since 2000.
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- Print on Demand
Da: Forgotten Books, London, Regno UnitoForgotten Books
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Paperback. Condizione: New. Print on Demand. This book investigates a major risk to arbitrage strategies identified in the pricing models for traded options. The Black-Scholes model assumes options can be hedged continuously, which is impossible in reality due to non-continuous trading in the underlying securities and transactio…n costs. The author derives expressions for the accumulated errors that result from discrete hedging over multiple rebalancing intervals and shows that a simple generalization of prior one-period models can significantly underestimate the variance of these accumulated errors. These errors introduce substantial risk to arbitrage strategies. However, the author demonstrates that the correlation between these hedging errors for different options can be quite high. The author derives expressions governing the moments of joint distribution of accumulated hedging errors across different options. This suggests option arbitrage risk can be substantially reduced by combining options into portfolios. The author also shows that portfolio-based tests of the efficiency of the options markets are more powerful than traditional tests that focus on individual options. The book concludes that option markets, in which many options are available with various underlying instruments and strike prices, may have prices close to the Black-Scholes model, as arbitrageurs can neutralize hedging error risk on individual options by employing portfolio approaches. This book is a reproduction of an important historical work, digitally reconstructed using state-of-the-art technology to preserve the original format. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in the book. print-on-demand item.
