Explicit formulas for the minimal variance hedging strategy in a martingale case

We explicitly compute the optimal strategy in discrete time for a European option and the variance of the corresponding hedging error under the hypothesis that the underlying is a martingale following a Geometric Brownian motion.

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Year of publication:	2007-08-15
Authors:	Angelini, Flavio ; Herzel, Stefano
Institutions:	Dipartimento di Economia, Università degli Studi di Perugia
Subject:	minimal variance hedging

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Extent:	application/pdf
Series:	Quaderni del Dipartimento di Economia, Finanza e Statistica.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 35/2007 2 pages long
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005481429