Ain continuous-time black Scholes model hedging portfolio is problematic, Why? and how could we circumvent this problem

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Ain continuous-time black Scholes model hedging portfolio is problematic, Why? and how could we circumvent this problem using quadratic variation concept? or general idea with its example.

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Introduction to Derivatives and Risk Management

ISBN: 978-1305104969

10th edition

Authors: Don M. Chance

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Posted Date: Aug 16, 2020 12:01 PM

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Ain continuous-time black Scholes model hedging portfolio is problematic, Why? and how could we circumvent this problem

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The problem with a hedging portfolio in a continuoustime BlackScholes model is that it is impossible to perfectly replicate the underlying asset This ... View the full answer

Introduction to Derivatives and Risk Management

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