Abstract
For a long time I worked in the area of equity derivatives, building models and systems for valuing the desk’s book. I want to take a backward look at the almost invisible problems you can run into in using the Black-Scholes model and its extensions to hedge a portfolio of options.
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© 2001 Springer Science+Business Media New York
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Derman, E. (2001). Qualitative & Quantitative Derivatives Risk Management. In: Figlewski, S., Levich, R.M. (eds) Risk Management: The State of the Art. The New York University Salomon Center Series on Financial Markets and Institutions, vol 8. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-0791-8_3
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DOI: https://doi.org/10.1007/978-1-4615-0791-8_3
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