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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Bibliographic Details
Main Author: Marques, Pedro (author)
Format: masterThesis
Language:eng
Published: 2016
Subjects:
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
Online Access:http://hdl.handle.net/10362/16850
Country:Portugal
Oai:oai:run.unl.pt:10362/16850

Internet

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

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