Delta Hedging without the Black-Scholes Formula

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dc.creatorHirashita, Yukio
dc.date2007-03-26
dc.date2007-04-14
dc.date.accessioned2026-07-07T12:07:23Z
dc.date.available2026-07-07T12:07:23Z
dc.descriptionWe introduce a new method of delta hedging. In many cases, this method results in a lower cost than the Black-Scholes method. To calculate the cost of hedging, we develop a Mathematica program that include the two-dimensional Newton-Raphson method.
dc.description5 pages Ver. 2: In addition, when K=35 (deep in the money), the difference between these costs is within 0.1%
dc.identifierhttps://arxiv.org/abs/math/0703714
dc.identifierhttp://arxiv.org/abs/math/0703714
dc.identifierFar East Journal of Applied Mathematics 28 (2007), 157-165.
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208954
dc.subjectOptimization and Control
dc.subjectPricing of Securities
dc.subject91B28; 65R20
dc.titleDelta Hedging without the Black-Scholes Formula
dc.typetext

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