… Mcreover, there exist constants M, Ma and 8 > 0 such that for every t > 0 … Further let wT and
M be chosen such that IITT(t)ll:::; Mewrt. … Mastinsek, Structural operators for abstract functional …

The paper deals with the problem of discrete–time delta hedging and discrete-time option
valuation by the Black–Scholes model. Since in the Black–Scholes model the hedging is …

… of the semigroup T (t) (for the proof see, eg, [1]) there exist real constants M and ω such that
… The condition m(0) = 0 means that 0 is not in the spectrum of Λ. For instance, this occurs …

Hedging an option is easy in the basic Black-Scholes world. The only stochastic variable is
the stock price, and by holding a short position in the stock equal to minus the partial …

… M 2 itself. Therefore the adjoint semigroup {T{ (t); t ~ 0} is a strongly continuous semigroup on
… [10] M. Mastinsek, Structural operators for abstract functional differential equations, In "Semi…

… We note that from (2.7) it follows m(0) = 0. By contradiction we will show the implication: if
λ ∈ Γ then Re λ < 0. First we assume λ ∈ Γ1 , so that there is an α ∈ σ(A) such that …

… m. By the same argument as that given in the proof of Theorem 3.1 in [16] the identifiability of
A… We define the model equation (2.3)m as the equation (2.3) in which the parameters A, A1λ …

… Mastinsek, M., Structural operators for abstract functional differential equations, thesis,
University of Ljubljana, 1987. 8. Nakagiri, S., Structural properties of functional differential equa…

… ) on the interval and the constant c1 depends onT, M 0i M 1 ,’Ia’I,b.Moreover the solution
semi-groupT(t)can be defined in the product space in the following way:340 Miklavz Mastinsek …

When the discretely adjusted option hedges are constructed by the continuous-time Black–Scholes
delta, then the hedging errors appear. The first objective of the paper is to consider a …