Delta Hedging without the Black-Scholes Formula

Details Delta Hedging without the Black-Scholes Formula Delta Hedging without the Black-Scholes Formula

2007-03-26

arxiv.org/abs/math/0703714v2

Far East Journal of Applied Mathematics 28 (2007), 157-165.

Mathematics

Optimization and Control

5 pages Ver. 2: In addition, when K=35 (deep in the money), the difference between these costs is within 0.1%

Scientific paper

We introduce a new method of delta hedging. In many cases, this method
results in a lower cost than the Black-Scholes method. To calculate the cost of
hedging, we develop a Mathematica program that include the two-dimensional
Newton-Raphson method.

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