Incomplete markets Substitute hedging - Derivatives on assets that are difficult to trade are of growing importance. Pricing requires the use of utility theory and proxy assets for hedging. The authors review the theory and discuss topical examples.
| Year of publication: |
2002
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|---|---|
| Authors: | Henderson, Vicky ; Hobson, David |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 15.2002, 5, p. 71-76
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