Hedging Index Options With Few Assets1

DOI10.1111/J.1467-9965.1993.TB00036.XMaRDI QIDQ4371998zbMATH OpenOpenAlexFDO

Authors Damien Lamberton, Bernard Lapeyre

Publication date 5 April 1998

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.1993.tb00036.x

zbMATH Keywords

contingent claimsoptimal strategieshedging strategies

Mathematics Subject Classification ID

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• A Biometrics Invited Paper. The Analysis and Selection of Variables in Linear Regression
• A stochastic calculus model of continuous trading: Complete markets
• Martingales and stochastic integrals in the theory of continuous trading
• Optimization Problems in the Theory of Continuous Trading
• Option hedging for semimartingales
• Regressions by Leaps and Bounds
• Residual risks and hedging strategies in Markovian markets

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(3)

• Hedging diffusion processes by local risk minimization with applications to index tracking
• What Drives Index Options Exposures?
• Optimal weak static hedging of equity and credit risk using derivatives

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