Delta- Hedging: Comments and a Case in Mathematical Finance
Keywords:
delta hedging, stochastic integral, risk-free rate, efficient market hypothesis
Abstract
The paper questions the ability of arbitrageurs to ascertain value with some confidence and to realize it quickly. The discussion in the paper suggests a reason why some markets are more attractive for arbitrage than others The paper identifies a number of so-called anomalies in which particular investment strategies have may not earn higher returns than their systematic risk. Our analysis offers a different mathematical approach to understanding these anomalies than does the standard efficient market theory.
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Published
2016-05-15
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Copyright (c) 2016 Authors and Global Journals Private Limited
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