• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Recent PhD Placements
    • Facilities
    • Admissions
  • Research
  • News
  • Events
    • Summer School
      • Crash Course in Experimental Economics
      • Introduction in Genome-Wide Data Analysis
      • Research on Productivity, Trade, and Growth
      • Econometric Methods for Forecasting and Data Science
  • Times

03-090/2 - Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong


  • Authors
    Bas Peeters, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam; Cees L. Dert, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam; André Lucas, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam
  • Publication date
    October 11, 2003
  • Keywords
    Option Hedging; Discrete Time; Portfolio Approach; Preference Free Valuation; Hedging Errors; Arbitrage Pricing Theory
  • JEL
    G13; G12