When is time continuous?

Journal of Financial Economics

Volumn 55, Issue 2, 2000, Pages 173-204

  Bertsimas, Dimitris ^a   Kogan, Leonid ^b   Lo, Andrew W ^a  

^a MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

^b UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

Continuous time models; Delta hedging; Derivatives; G13

Indexed keywords

EID: 0001046515     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(99)00049-5     Document Type: Article

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