Impact of Black-Scholes assumptions on Delta Hedging

In this work we are going to evaluate the different assumptions used in the Black- Scholes-Merton pricing model, namely log-normality of returns, continuous interest rates, inexistence of dividends and transaction costs, and the consequences of using them to hedge different options in real markets,...

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Detalhes bibliográficos
Autor principal: Marques, Pedro (author)
Formato: masterThesis
Idioma:eng
Publicado em: 2016
Assuntos:
Black-Scholes-Merton model
Assumptions
Delta Hedging
Hedging quality
Profit and loss
Option payoffs
Market discontinuities
Volatility
Interest rate
Dividends
Transaction costs
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
Texto completo:http://hdl.handle.net/10362/16850
País:Portugal
Oai:oai:run.unl.pt:10362/16850

Texto Completo

http://hdl.handle.net/10362/16850

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