Delta- Hedging: Comments and a Case in Mathematical Finance

Amaresh Das

Delta- Hedging: Comments and a Case in Mathematical Finance

Amaresh Das * §

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Delta- Hedging: Comments and a Case in Mathematical Finance

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Abstract

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.

References

3 Cites in Article

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Das Amaresh (2015). Does Adam Smith's Invisible Hand Work for Financial Markets.
Das Amaresh (2015). Regular Lévy Processes of Exponential type in 1D.
J De Long,Andrei Shleifer,Lawrence Summers,Robert Waldmann (1990). Noise Trader Risk in Financial Markets.

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

How to Cite This Article

Amaresh Das. 2016. "Delta- Hedging: Comments and a Case in Mathematical Finance". 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

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

Keywords

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Classification

GJMBR-C Classification JEL Code: F65

Submission ReceivedDecember 6, 2015
Peer Review Double Blind
Handling Editor
Accepted December 31, 2015
Published January 15, 2016

Version of record

v1.2

Issue date

December 10, 2016

Language

English

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Article Matrices

Total Score: 178

Country: United States

Subject: Global Journal of Management and Business Research

Authors: Amaresh Das (PhD/Dr. count: 0)

View Count (all-time): 299

Total Views (Real + Logic): 1417

Total Downloads (simulated): 114

Publish Date: 2016 01, Fri

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Total Views: 1.4K

Total Downloads: 114

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