1887

n Investment Analysts Journal - How does traditional option hedging perform in the South African equity market?

Volume 2009, Issue 70
  • ISSN : 1029-3523
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Abstract

Derivative securities are frequently priced within the Black-Scholes methodology. Theoretically this entails maintaining a hedge consisting of the underlying asset and cash which needs to be rebalanced continuously. In practice, traders would only rebalance such hedges on a discrete basis. We examine the effects of discrete rebalancing of derivative hedges written on the FTSE/JSE TOP40 index.

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/content/invest/2009/70/EJC46823
2009-01-01
2016-12-10

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