The illusions of dynamic replication

DOI10.1080/14697680500305105zbMath1134.91412OpenAlexW3122369048WikidataQ56168406 ScholiaQ56168406MaRDI QIDQ3375373

Emanuel Derman, Nassim Nicholas Taleb

Publication date: 8 March 2006

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680500305105

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Symmetries and exact solutions of a nonlinear pricing options equation ⋮ MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE ⋮ Challenges in approximating the Black and Scholes call formula with hyperbolic tangents ⋮ A recursive method for static replication of autocallable structured products ⋮ Static replication of barrier-type options via integral equations ⋮ Derman and Taleb's ‘The illusions of dynamic replication’: a comment ⋮ An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs

Cites Work

• The Pricing of Options and Corporate Liabilities

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