Delta- Hedging: Comments and a Case in Mathematical Finance

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Amaresh Das
Amaresh Das
1 University of New Orleans

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GJMBR Volume 16 Issue C8

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Delta- Hedging: Comments and a Case in Mathematical Finance Banner
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The paper questions the ability of arbitrageurs to ascertain value with some confidence and to realize it quickly. The discussion in the paper suggests a reason why some markets are more attractive for arbitrage than others The paper identifies a number of so-called anomalies in which particular investment strategies have may not earn higher returns than their systematic risk. Our analysis offers a different mathematical approach to understanding these anomalies than does the standard efficient market theory.

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No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

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No ethics committee approval was required for this article type.

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Amaresh Das. 2016. \u201cDelta- Hedging: Comments and a Case in Mathematical Finance\u201d. Global Journal of Management and Business Research - C: Finance GJMBR-C Volume 16 (GJMBR Volume 16 Issue C8): .

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GJMBR Volume 16 Issue C8
Pg. 21- 24
Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

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GJMBR-C Classification: JEL Code: F65
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v1.2

Issue date

December 10, 2016

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English

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The paper questions the ability of arbitrageurs to ascertain value with some confidence and to realize it quickly. The discussion in the paper suggests a reason why some markets are more attractive for arbitrage than others The paper identifies a number of so-called anomalies in which particular investment strategies have may not earn higher returns than their systematic risk. Our analysis offers a different mathematical approach to understanding these anomalies than does the standard efficient market theory.

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Delta- Hedging: Comments and a Case in Mathematical Finance

Amaresh Das
Amaresh Das University of New Orleans

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