Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 2 of 2 for “"Rebalancing methods"”.
-
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. …