Hedging Index Options With Few Assets

We consider hedging strategies against contingent claims depending on a large number of assets (typically options on an index). We introduce strategies involving a limited number of assets and give explicit formulae to characterize optimal strategies. Numerical methods to compute these formulae are also discussed. Copyright 1993 Blackwell Publishers.

MoreLess

Year of publication:	1993
Authors:	Lamberton, Damien ; Lapeyre, Bernard
Published in:	Mathematical Finance. - Wiley Blackwell, ISSN 0960-1627. - Vol. 3.1993, 1, p. 25-41
Publisher:	Wiley Blackwell

freely available

Full text |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008521940