Article ID Journal Published Year Pages File Type
5069503 Finance Research Letters 2016 12 Pages PDF
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
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