Can you Beat Black-Scholes at Delta Hedging?
نویسندگان
چکیده
Not a bad question given Black-Scholes assumes zero correlation between underlying price and volatility, the consequence of which is an entirely flat volatility surface.
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ژورنال
عنوان ژورنال: Wilmott
سال: 2023
ISSN: ['1541-8286', '1540-6962']
DOI: https://doi.org/10.54946/wilm.11134