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A Portfolio Approach to Risk Reduction in Discretely Rebalanced Option Hedges
13 references·0 citing·34 second hop
A Portfolio Approach to Risk Reduction in Discretely Rebalanced Option Hedges (1998)A Portfolio Approach to Risk Reduction in…Discrete–time delta hedging and the Black–Scholes model with transaction costs (2006)Discrete–time delta hedging a…Theory of rational option pricing (2005)Theory of rational option pri…Financial Economics (1997)Financial EconomicsThe Systematic Risk of Discretely Rebalanced Option Hedges (1990)The Systematic Risk of Discre…Options Arbitrage in Imperfect Markets (1989)Options Arbitrage in Imperfec…Option values under stochastic volatility: Theory and empirical estimates (1987)Option values under stochasti…Valuation of American Futures Options: Theory and Empirical Tests (1986)Valuation of American Futures…Option Pricing and Replication with Transactions Costs (1985)Option Pricing and Replicatio…Valuation of American call options on dividend-paying stocks (1982)Valuation of American call op…Discretely adjusted option hedges (1980)Discretely adjusted option he…The information content of option prices and a test of market efficiency (1978)The information content of op…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Random Character of Stock Market Prices (1968)THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Coherent Measures of Risk (1999)Risk, Return, and Equilibrium: Empirical Tests (1973)Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Post-'87 crash fears in the S&P 500 futures option market (2000)Forecasting Volatility in Financial Markets: A Review (2003)The Behavior of Stock-Market Prices (1965)An Intertemporal Capital Asset Pricing Model (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Measuring and Testing the Impact of News on Volatility (1993)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Valuation of Uncertain Income Streams and the Pricing of Options (1976)Options: A Monte Carlo approach (1977)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)Empirical Performance of Alternative Option Pricing Models (1997)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Portfolio selection with transactions costs (1976)Portfolio Selection with Transaction Costs (1990)Volume, Volatility, Price, and Profit When All Traders Are Above Average (1998)An Engine, Not a Camera (2006)ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)Some anomalous evidence regarding market efficiency (1978)Variance Risk Premiums (2008)Option pricing: A simplified approach (1979)Guaranteed Annuity Options (2003)Reward–risk portfolio selection and stochastic dominance (2004)The Impact of board characteristics on Firm Performance: Evidence from Nonfinancial Listed Companies in Kuwaiti Stock Exchange (2012)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,084 cited
  • 2005Theory of rational option pricing7,183 cited
  • 1985Option Pricing and Replication with Transactions Costs916 cited
  • 1987Option values under stochastic volatility: Theory and empirical estimates904 cited
  • 1978The information content of option prices and a test of market efficiency485 cited
  • 1982Valuation of American call options on dividend-paying stocks319 cited
  • 1989Options Arbitrage in Imperfect Markets280 cited
  • 1997Financial Economics233 cited
  • 1980Discretely adjusted option hedges194 cited
  • 1986Valuation of American Futures Options: Theory and Empirical Tests175 cited
  • 2006Discrete–time delta hedging and the Black–Scholes model with transaction costs25 cited
  • 1990The Systematic Risk of Discretely Rebalanced Option Hedges19 cited

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