Dynamic hedging strategies applied by banks for short positions in currency options

Izabela Pruchnicka-Grabias

Data publikacji : 2009-12-01

Tom 39 Nr 2 (2009)

Dynamic hedging strategies applied by banks for short positions in currency options

Izabela Pruchnicka-Grabias

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Pruchnicka-Grabias, I. (2009). Dynamic hedging strategies applied by banks for short positions in currency options. Bezpieczny Bank, 39(2), 103–114. Pobrano z https://ojs.bfg.pl/index.php/bb/article/view/539

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Utwór dostępny jest na licencji Creative Commons Uznanie autorstwa – Użycie niekomercyjne – Na tych samych warunkach 4.0 Międzynarodowe.

Bibliografia

Black F., Scholes M., The pricing of options and corporate liabilities, „Journal of Political Economy” 1973, No. 87, May/June, 1973.

Gupta A., On neutral ground, Risk, vol. 10, nr 7, 1997.

Henrotte P., Transaction Costs and Duplication Strategies, Working Paper, Stanford University and HEC, 1993.

Leland H. E., Option Pricing and Replication with Transactions Costs, The Journal of Finance, vol. XL, No. 5, December 1985.

Martellini L., Priaulet P., Competing Methods for Option Hedging in the Presence of Transaction Costs, Journal of Derivatives 2002, 9(3).

Mastinsek M., Discrete-time delta hedging and the Black-Scholes model with transaction costs, Mathematical Methods of Operations Research, nr 64, 2006.

Whalley A. E., Wilmott P., Counting the Costs, Risk, nr 6, 1993.

Zakamouline V. I., Dynamic Hedging of Complex Option Positions with Transaction Costs, Working Paper, Agder University College, February 2006.

Data from the internet page: www.akcje.ne