In practice the hedging process does not satisfy the assumptions of the Black-Scholes model. Traders do not hedge continuously because of transaction costs and time constraints and often do not choose low risk over a high but risky profit. The goal of this thesis is to construct a model reflecting these aspects of option hedging in real life.
|Award date||10 Jan 2008|
|Place of Publication||Enschede|
|Publication status||Published - 10 Jan 2008|