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Keywords: Option replication
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Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2016) 33 (1): 2–25.
Published: 07 March 2016
... performance measures. This paper aims to get back to Henriksson and Merton’s initial idea of option replication to overcome this issue and adapt the market timing model to various kinds of trading strategies and return-generating processes. Design/methodology/approach – This paper proposes a theoretical...
