Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5069503 | Finance Research Letters | 2016 | 12 Pages |
Abstract
There is an inaccurate formula in Huang et al. (1996). In fact, a substantial term is missing in their equation (14) for computing the value of an important option hedging parameter, i.e., the vega. We fix it in this note by providing its correct form and characterizing an associated (new) integral equation. Some related explanations and arguments are also corrected.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Yanchu Liu, Zhenyu Cui, Ning Zhang,