Option pricing with discrete rebalancing

Jean-Luc Prigent; Olivier Renault; Olivier Scaillet

doi:10.1016/j.jempfin.2003.09.001

Journal Articles Journal of Empirical Finance Year : 2004

Option pricing with discrete rebalancing

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Jean-Luc Prigent

Function : Author
PersonId : 1134801

Théorie économique, modélisation et applications

Olivier Renault

Function : Author
PersonId : 766014
ORCID : 0000-0002-0683-9590
IdRef : 153660996

Institut National Agronomique Paris Grignon

Olivier Scaillet

Function : Author
PersonId : 804932
ORCID : 0000-0002-3948-6891
IdRef : 034296530

Université Catholique de Louvain = Catholic University of Louvain

Domains

Mathematics [math] Humanities and Social Sciences Statistics [stat] Quantitative Finance [q-fin]

Jean-Luc Prigent : Connect in order to contact the contributor

https://hal-cyu.archives-ouvertes.fr/hal-03679686

Submitted on : Thursday, May 26, 2022-11:20:06 PM

Last modification on : Friday, March 24, 2023-2:53:27 PM

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hal-03679686 , version 1 (26-05-2022)

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HAL Id : hal-03679686 , version 1
DOI : 10.1016/j.jempfin.2003.09.001

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

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Option pricing with discrete rebalancing

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