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Management Science
Volumn 44, Issue 7, 1998, Pages 921-934
A portfolio approach to risk reduction in discretely rebalanced option hedges
Author keywords

Discrete Rebalancing; Market Efficiency; Option Pricing; Transaction Costs
Indexed keywords

CORRELATION METHODS; COSTS; ERROR ANALYSIS; MARKETING; MATHEMATICAL MODELS; OPTIMIZATION; RISK MANAGEMENT; STRATEGIC PLANNING;
EID: 0032116409     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.44.7.921     Document Type: Article
Times cited : (8)
References (12)
  • 1
    • 85015692260 scopus 로고
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    • Black, F. and M. Scholes, "The Pricing of Options and Corporate Liabilities," J. Political Economy, 81 (1973), 163-175.
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    • Black, F.1    Scholes, M.2
  • 2
    • 3142645106 scopus 로고
    • Tests of Market Efficiency for American Call Options
    • M. Brenner (Ed.), D. C. Heath, Lexington, MA
    • Blomeyer, E. C. and R. C. Kelmkosky, "Tests of Market Efficiency for American Call Options," in M. Brenner (Ed.), Option Pricing, D. C. Heath, Lexington, MA, 1983.
    • (1983) Option Pricing
    • Blomeyer, E.C.1    Kelmkosky, R.C.2
  • 3
    • 84948559002 scopus 로고
    • Discretely Adjusted Option Hedges
    • Boyle, P. P. and D. Emanuel, "Discretely Adjusted Option Hedges," J. Financial Economics, 8 (1980), 259-282.
    • (1980) J. Financial Economics , vol.8 , pp. 259-282
    • Boyle, P.P.1    Emanuel, D.2
  • 4
    • 33747736277 scopus 로고
    • The Information Content of Option Prices and a Test of Market Efficiency
    • Chiras, D. and S. Manaster, "The Information Content of Option Prices and a Test of Market Efficiency," J. Financial Economics, 6 (1978), 213-234.
    • (1978) J. Financial Economics , vol.6 , pp. 213-234
    • Chiras, D.1    Manaster, S.2
  • 5
    • 84977707532 scopus 로고
    • Option Arbitrage in Imperfect Markets
    • Figlewski, S., "Option Arbitrage in Imperfect Markets," J. Finance, 44 (1989), 1289-1311.
    • (1989) J. Finance , vol.44 , pp. 1289-1311
    • Figlewski, S.1
  • 6
    • 84971916828 scopus 로고
    • The Systematic Risk of Discretely Rebalanced Option Hedges
    • Gilster, J., "The Systematic Risk of Discretely Rebalanced Option Hedges," J. Financial and Quantitative Analysis, 25 (1990), 507-516.
    • (1990) J. Financial and Quantitative Analysis , vol.25 , pp. 507-516
    • Gilster, J.1
  • 7
    • 84944830176 scopus 로고
    • Option Pricing and Replication with Transaction Costs
    • Leland, H. E., "Option Pricing and Replication with Transaction Costs," J. Finance, 40 (1985), 1283-1301.
    • (1985) J. Finance , vol.40 , pp. 1283-1301
    • Leland, H.E.1
  • 9
    • 0011408918 scopus 로고
    • A Test of Option Market Efficiency using a Random-Walk Valuation Model
    • Trippi, R. R., "A Test of Option Market Efficiency using a Random-Walk Valuation Model," J. Economics and Business, 29 (1977), 93-98.
    • (1977) J. Economics and Business , vol.29 , pp. 93-98
    • Trippi, R.R.1
  • 10
    • 49049138369 scopus 로고
    • Valuation of American Call Options on Dividend-Paying Stocks
    • Whaley, R. E., "Valuation of American Call Options on Dividend-Paying Stocks," J. Financial Economics, 10 (1982), 28-58.
    • (1982) J. Financial Economics , vol.10 , pp. 28-58
    • Whaley, R.E.1
  • 11
    • 0011425071 scopus 로고
    • Valuation of American Future Options: Theory and Empirical Tests
    • _, "Valuation of American Future Options: Theory and Empirical Tests," J. Finance, 41 (1986), 127-150.
    • (1986) J. Finance , vol.41 , pp. 127-150
  • 12
    • 45949112947 scopus 로고
    • Option Values under Stochastic Volatility: Theory and Empirical Estimates
    • Wiggins, J. B., "Option Values under Stochastic Volatility: Theory and Empirical Estimates," J. Financial Economics, 19 (1987), 351-372.
    • (1987) J. Financial Economics , vol.19 , pp. 351-372
    • Wiggins, J.B.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.