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arXiv math/0703714math.OCq-fin.PR
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Delta Hedging without the Black-Scholes Formula

Yukio Hirashita

备注：
5 pages Ver. 2: In addition, when K=35 (deep in the money), the difference between these costs is within 0.1%
发表信息：
Far East Journal of Applied Mathematics 28 (2007), 157-165.
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英文摘要：

We introduce a new method of delta hedging. In many cases, this method results in a lower cost than the Black-Scholes method. To calculate the cost of hedging, we develop a Mathematica program that include the two-dimensional Newton-Raphson method.

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