Estratégias de hedge dinâmico: um estudo comparativo
Several theoretical works have been developed in the last five decades proposing texting delta-hedge strategies when the premises of the Black e Scholes (1973) are relaxed. This paper sets out to find the best delta-hedge strategy in the presence of transaction costs with the price series that follo...
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| Formato: | masterThesis |
| Idioma: | por |
| Publicado em: |
2017
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| Texto completo: | http://hdl.handle.net/10438/18733 |
| País: | Brasil |
| Oai: | oai:bibliotecadigital.fgv.br:10438/18733 |