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Showing 1 to 2 of 2 for “"Rebalancing methods"”.

  1. Rebalancing strategies for synthetic call options

    … Black-Scholes (BS) call premiums. Three rebalancing methods are implemented to trigger changes in the stock/debt mix: time--the portfolio is changed at fixed intervals, delta--after the delta value changes by certain percentages, and stock--when the stock changes by specified percentages. …

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