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- W2035841654 abstract "This paper analyses the distribution of returns on a hedged portfolio, consisting of a European call option and its associated stock, when the portfolio is rebalanced at discrete time intervals. Under the assumptions of the Black-Scholes model this distribution is particularly skew. In tests of the average return on a hedged portfolio this skewness leads to biased t-statistics. The paper explores the nature and extent of this bias and suggests procedures for overcoming it. Other aspects of discrete hedging are also discussed." @default.
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- W2035841654 date "1980-09-01" @default.
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- W2035841654 title "Discretely adjusted option hedges" @default.
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- W2035841654 doi "https://doi.org/10.1016/0304-405x(80)90003-3" @default.
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