Option pricing with discrete rebalancing

Jean-Luc Prigent, Olivier Renault () and Olivier Scaillet
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Olivier Renault: INAPG - Institut National Agronomique Paris Grignon

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Date: 2004-01
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Published in Journal of Empirical Finance, 2004, 11 (1), pp.133-161. ⟨10.1016/j.jempfin.2003.09.001⟩

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Related works:
Journal Article: Option pricing with discrete rebalancing (2004)
Working Paper: Option Pricing with Discrete Rebalancing (2002)
Working Paper: Option Pricing with Discrete Rebalancing (1999)
Working Paper: Option Pricing with Discrete Rebalancing (1999)
Working Paper: Option pricing with discrete rebalancing (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03679686

DOI: 10.1016/j.jempfin.2003.09.001

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