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- W3123137002 abstract "In this work, I address the issue of forming riskless hedge in the continuous time option pricing model with stochastic stock volatility. I show that it is essential to verify whether the replicating portfolio is self-financing, in order for the theory to be self-consistent. The replicating methods in existing finance literature are shown to violate the self-financing constraint when the underlying asset has stochastic volatility. Correct self-financing hedge is formed in this article." @default.
- W3123137002 created "2021-02-01" @default.
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- W3123137002 date "1998-07-01" @default.
- W3123137002 modified "2023-09-27" @default.
- W3123137002 title "Hedging The Risk In The Continuous Time Option Pricing Model With Stochastic Stock Volatility" @default.
- W3123137002 hasPublicationYear "1998" @default.
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