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Hedging Index Options With Few Assets 1
Author(s) -
Lamberton Damien,
Lapeyre Bernard
Publication year - 1993
Publication title -
mathematical finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.98
H-Index - 81
eISSN - 1467-9965
pISSN - 0960-1627
DOI - 10.1111/j.1467-9965.1993.tb00036.x
Subject(s) - index (typography) , economics , econometrics , actuarial science , mathematical economics , mathematics , computer science , world wide web
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.