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.

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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

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

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