The Delta- Hedging Strategy Test of Jarrow and Rudd’s Approximate Option Valuation Formula in Taiwan Warrant Market
碩士 === 國立中央大學 === 財務金融學系 === 101 === In the recent years, the warrant market in Taiwan is highly developed. Securities firms have to construct a hedge ratio to lock their cost at issuing the warrants. In general, securities firms use the delta-hedging strategy basis on the Black and Scholes model wh...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/04541482566950104611 |