One of the assumptions of the BSM model is continuous dynamic hedging,while in trading practice,dynamic hedging can only be discrete.We conduct scenario simulations on discrete dynamic hedging to examine the characteristics of discrete dy-namic hedging errors.Furthermore,at the theoretical level,the distribution,mean,and standard deviation of discrete dynamic hedging errors are derived,and the relationship between the standard deviation of discrete dynamic hedging errors and hedging frequency is obtained.
维普
万方数据
