Zhang Jun

affiliation not provided to SSRN

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Optimal Dynamic Hedging of Equity Options: Residual-Risks, Transaction-Costs, & Conditioning

Number of pages: 85 Posted: 01 Jan 2010 Last Revised: 21 Jun 2019
Credit Suisse Securities, affiliation not provided to SSRN, affiliation not provided to SSRN, Stevens Institute of Technology, affiliation not provided to SSRN and Volaris Capital Management
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Citation 8

Abstract:

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options, hedging, kurtosis, skewness, residual-risk, transaction-costs, hurdle-return, risk-capital, volatility trading