文章基本信息

标题：The extended Black-Scholes model with-lags-and "hedging errors"
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作者：Bellalah, Mondher
期刊名称：International Journal of Banking and Finance
出版年度：2003
卷号：1
期号：2
页码：6
出版社：Bond University
摘要：Extract: The Black-Scholes model is derived under the assumption that hedging is done instantaneously. In practice, there is a "small" time that elapses between buying or selling the option and hedging using the underlying asset. Under the following assumptions used in the standard Black-Scholes analysis, the value of the option will depend only on the price of the underlying asset S, time t and on other variables assumed constants. These assumptions or "ideal conditions" as expressed by Black-Scholes are the following.
关键词：Black-Scholes model; hedging; lag