• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Facilities
    • Admissions
    • Recent PhD Placements
  • Research
  • News
  • Events
    • Summer School
      • Summer School
      • Behavioral Macro and Complexity
      • Climate Change
      • Networks in Micro- and Macroeconomics
      • Business Data Science Summer School Program
    • Events Calendar
    • Events Archive
    • Tinbergen Institute Lectures
    • Conference: Consumer Search and Markets
    • Annual Tinbergen Institute Conference
  • Summer School
  • Alumni
  • 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