When you cannot hedge continuously

[Aurelien Chanudet-2]

Hi QuantLib users,

I'm looking for a copy of the research paper which is
alluded to in the DiscreteHedging example (When you
cannot hedge continuously: the corrections to B&S) ?
The link included in C++ source file appears to be out
of date. Can someone provide me with a copy ?

Thanks in advance,
Aurelien




       

       
               
Vous manquez d’espace pour stocker vos mails ?
Yahoo! Mail vous offre GRATUITEMENT 100 Mo !
Créez votre Yahoo! Mail sur http://fr.benefits.yahoo.com/

Le nouveau Yahoo! Messenger est arrivé ! Découvrez toutes les nouveautés pour dialoguer instantanément avec vos amis. A télécharger gratuitement sur http://fr.messenger.yahoo.com

[Ferdinando M. Ametrano-3]

Hi Aurelien,

>I'm looking for a copy of the research paper which is
>alluded to in the DiscreteHedging example (When you
>cannot hedge continuously: the corrections to B&S) ?
>The link included in C++ source file appears to be out
>of date. Can someone provide me with a copy ?

Thank you for the broken link report, I've fixed it in the CVS.

The paper:
http://www.google.com/search?hl=en&ie=UTF-8&q=when_you_cannot_hedge.pdf&btnG=Google+Search

or even better ;-)

http://www.ederman.com/emanuelderman/GSQSpapers/when_you_cannot_hedge.pdf

ciao -- Nando