dear all,
thank you for Klaus Pinn and Jessica James comments about the
Bouchaud-Sornette option pricing.
In the paper cond-mat/9509095, (also published on Risk 9 3, 61-65, March
1996) we compared the Black and Sholes strategy and the minimal
variance hedging for Matif options.
As you can see in fig.5 in both cases the residual
risk is non-zero and increases with the trading frequency. Furthermore,
as expected, the residual risk obtained following the Black and Sholes
strategy is larger and it can be substantially reduced using the minimum
variance hedging.
Best regards,
Giulia Iori
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_____________________________________________________
Dr. Giulia Iori
(Lecturer in finance)
Department of Accounting, Finance and Management
University of Essex
Wivenhoe Park
Colchester, Essex CO4 3SQ, UK
Telephone: (44) 1206 873768
Fax: (44) 1206 873429
Email: [log in to unmask]
URL: //www.essex.ac.uk/AFM/about_us/staff/iori/iori.html
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