Derman and Taleb's ‘The illusions of dynamic replication’: a comment

DOI10.1080/14697680600868283zbMath1134.91459OpenAlexW3122374057MaRDI QIDQ3437392

Doriana Ruffino, Jonathan Treussard

Publication date: 9 May 2007

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

Full work available at URL: https://doi.org/10.1080/14697680600868283

Mathematics Subject Classification ID

Cites Work

• The Pricing of Options and Corporate Liabilities
• The illusions of dynamic replication
• The Valuation of American Options on Multiple Assets
• Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options
• Option pricing when underlying stock returns are discontinuous
• Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets

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