Market volatility and feedback effects from dynamic hedging:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Bonn
Univ., Sonderforschungsbereich 303
1995
|
| Schriftenreihe: | Discussion paper / Sonderforschungsbereich 303 "Information und die Koordination Wirtschaftlicher Aktivitäten", Projektbereich B
310 |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 31 S.: graph. Darst. |
Internformat
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Datensatz im Suchindex
| _version_ | 1804140458035642368 |
|---|---|
| adam_text | Contents
1 Introduction 1
2 The Discrete Time Model 4
2.1 The Reference Economy 4
2.2 Introduction of Dynamic Hedging Strategies 7
3 The Continuous-Time Model 9
4 Feedback-Effects from Black-Scholes Trading 14
4.1 Simple Black-Scholes Strategies 14
4^2 Volatility 15
4.3 Rational Black-Scholes Trading , . . . . 17
4.3.1 The Tracking Error 17
4.3.2 Rational Volatility Bounds 18
4.4 Comparison with the Brennan-Schwartz Study 20
4.5 Explicit Calculations 21
5 Conclusions 26
A Mathematical Appendix 27
A.I Complements to Chapter 3 27
A.I.I Proof of Lemma 3.3 27
A. 1.2 Version of the Continuous Mapping Theorem 27
. A.1.3 Proof of Corollary 3.4 28
A.2 Properties of T . 28
A.3 Justification of Assumption 4.4 29
References 30
|
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| language | English |
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| spelling | Frey, Rüdiger Verfasser aut Market volatility and feedback effects from dynamic hedging Rüdiger Frey Bonn Univ., Sonderforschungsbereich 303 1995 31 S.: graph. Darst. txt rdacontent n rdamedia nc rdacarrier Discussion paper / Sonderforschungsbereich 303 "Information und die Koordination Wirtschaftlicher Aktivitäten", Projektbereich B 310 Sonderforschungsbereich Information und die Koordination Wirtschaftlicher Aktivitäten Projektbereich Variable und Informationsabhängige Strukturen Discussion paper 310 (DE-604)BV004849776 310 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018447166&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Frey, Rüdiger Market volatility and feedback effects from dynamic hedging |
| title | Market volatility and feedback effects from dynamic hedging |
| title_auth | Market volatility and feedback effects from dynamic hedging |
| title_exact_search | Market volatility and feedback effects from dynamic hedging |
| title_full | Market volatility and feedback effects from dynamic hedging Rüdiger Frey |
| title_fullStr | Market volatility and feedback effects from dynamic hedging Rüdiger Frey |
| title_full_unstemmed | Market volatility and feedback effects from dynamic hedging Rüdiger Frey |
| title_short | Market volatility and feedback effects from dynamic hedging |
| title_sort | market volatility and feedback effects from dynamic hedging |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018447166&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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