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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
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