Effectiveness of Dynamic Hedging Using Options on the WIG20 in Current Market Conditions
Based on previous research on the deviations of the prices of options on the WIG20 from the arbitrage restrictions and features, it was found that the number and scale of these deviations clearly decreased, thus improving the quality of the arbitrage pricing of options. The purpose of this work in t...
| Published in: | Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu |
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| Main Author: | |
| Format: | Article |
| Language: | English |
| Published: |
Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
2020-01-01
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| Online Access: | https://journals.ue.wroc.pl/pn/article/view/525 |