Delta Hedging without the Black-Scholes Formula

Yukio Hirashita

Papers from arXiv.org

Abstract: 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.

Date: 2007-03, Revised 2007-04
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Published in Far East Journal of Applied Mathematics 28 (2007), 157-165.

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:math/0703714

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