A STUDY OF SENSITIVITY AND DELTA HEDGING STRATEGY FOR OPTION CONTRACTS
Black F, and Scholes M. (1973). “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy, Vol.81(3), pp.637-654. http://dx.doi.org/10.1086/260062.
Brenner M, and Subrahmanyam MG. (1994). “A Simple approach to Option valuation and Hedging in the Black-Scholes Model”, Financial Analysts Journal, Vol.50(2), pp.25-28.
Jelena P. (2014). “Options, Greeks, and risk management”, Singidunum Journal of Applied Sciences, Vol.11(1), pp.74-83.
Juneja S. (2013). “Understanding the Greeks and their uses to measure risk”, International Journal of Research in Commerce, IT and Management, Vol.3(10), pp.2231-2256.
Lyuu YD, and Teng HW. (2011). “Unbiased and efficient Greeks of financial options”, Finance and Stochastics, Vol.15(1), pp.141-181.
Martinkute – Kauliene R. (2013). “Sensitivity of Option Contracts”, Business: Theory and Practice, Vol.14(2), pp.157-165.
Nagendran R, and Venkateswar S. (2014). “Validating Black – Scholes model in pricing Indian stock call options”, Journal of Applied Finance & Banking, Vol.4(3), pp.89-101.
Nilakantan NS, and Talwar S. (2014). “Discrete Delta – hedging: Indian Market”, SCMS Journal of Indian Management, Vol.XI(4), pp.5-17.
Saravanan S, and Kumar GP. (2012). “Estimation of stock option prices using Black-Scholes Model”, International Journal of Research in Commerce, IT & Management, Vol.2(11), pp.2231-5756.
Yu X, and Xie X. (2013). “On derivations of Black-Scholes Greek Letters”, Research Journal of Finance and Accounting, Vol.4(6), pp.2222-2297.
- There are currently no refbacks.
Send mail to email@example.com with questions or comments about this web site.
International Journal of Management and Social Sciences, All rights reserved.