Option pricing with discrete rebalancing

Scaillet, Olivier; Prigent, Jean-Luc; Renault, Olivier

doi:10.2139/ssrn.372141

Scientific article

Open access

English

Option pricing with discrete rebalancing

ContributorsScaillet, Olivier

; Prigent, Jean-Luc; Renault, Olivier

Published inJournal of empirical finance, vol. 11, p. 133-161

Publication date2004

Affiliation

Faculté d'économie et de management / Geneva Finance Research Institute

Citation (ISO format)

SCAILLET, Olivier, PRIGENT, Jean-Luc, RENAULT, Olivier. Option pricing with discrete rebalancing. In: Journal of empirical finance, 2004, vol. 11, p. 133–161. doi: 10.2139/ssrn.372141

Article (Published version)

Identifiers

PID : unige:41794
DOI : 10.2139/ssrn.372141

Commercial URLhttp://www.researchgate.net/publication/4943495_Option_pricing_with_discrete_rebalancing

ISSN of the journal0927-5398

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Option pricing with discrete rebalancing

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