Option pricing and portfolio hedging under the mixed hedging strategy

This paper is concerned in the option pricing and portfolio hedging in a discrete time incomplete market. It has been shown that scaling and residual risks as well as the mixed hedging strategy play an important role in option pricing and portfolio hedging in a discrete time case. In particular, the relation between scaling (i.e., trading frequency) and portfolio hedging is discussed.

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Year of publication:	2015
Authors:	Wang, Xiao-Tian ; Zhao, Zhong-Feng ; Fang, Xiao-Fen
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 424.2015, C, p. 194-206
Publisher:	Elsevier
Subject:	Residual risk \| Scaling \| Option pricing \| Portfolio hedging \| Trade frequency \| Mixed hedging strategy

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011194064