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Option pricing with discrete rebalancing

Jean-Luc Prigent 1 Olivier Renault 2 Olivier Scaillet 3 
1 THEMA - Théorie économique, modélisation et applications
2 INAPG - Institut National Agronomique Paris Grignon
3 UCL - Université Catholique de Louvain = Catholic University of Louvain
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https://hal-cyu.archives-ouvertes.fr//hal-03679686
Contributor : Jean-Luc Prigent Connect in order to contact the contributor
Submitted on : Thursday, May 26, 2022 - 11:20:06 PM
Last modification on : Friday, May 27, 2022 - 3:21:58 PM

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AGROPARISTECH | CNRS | UNIV-CERGY | INSMI | THEMA-UMR8184 | CY-TECH-SM

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Jean-Luc Prigent, Olivier Renault, Olivier Scaillet. Option pricing with discrete rebalancing. Journal of Empirical Finance, Elsevier, 2004, 11 (1), pp.133-161. ⟨10.1016/j.jempfin.2003.09.001⟩. ⟨hal-03679686⟩

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