A portfolio approach to risk reduction in discretely rebalanced option hedges

Name

portfolioapproac00bhus.pdf

Size

1.5 MB

Format

Adobe PDF

Checksum (MD5)

b6443b7afd8881ad9d06d26bc1b0c6c2

Author(s)

Bhushan, Ravi

•

Mello, Antnio Sampaio

•

Neuhaus, Henrik J.

Date Issued

1991

Publisher

Cambridge, Mass. : Sloan School of Management, Massachusetts Institute of Technology

Series/Report no.

Working paper (Sloan School of Management) ; 3290-91.

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