Abstract
Gary L. Gastineau is a Senior Vice President of the American Stock Exchange. In my comments on Gilster's article, I make the nexus between theory and practice my focus, examining risk measurement and risk management on one hand and return calculations on the other. Gilster's point is tangled in a thicket compounded of instrument risk, position risk, and portfolio risk measures. In a real world context, the unrealism of the continuous time assumption and instability in the stock sensitivity of a neutral hedge do not matter; e.g., the specialist's position has a stable overall portfolio risk structure. Despite its promise, Gilster's paper does not make a material contribution to the advancement of option theory or practice.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
