Hedging Index Options With Few Assets1

DOI10.1111/J.1467-9965.1993.TB00036.XzbMATH Open0884.90041OpenAlexW1974481640MaRDI QIDQ4371998FDOQ4371998

Bernard Lapeyre, Damien Lamberton

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

Recommendations

• scientific article; zbMATH DE number 5227619
• Optimal static quadratic hedging
• Hedging diffusion processes by local risk minimization with applications to index tracking
• Asymptotic analysis of utility-based hedging strategies for small number of contingent claims
• Semistatic and sparse variance-optimal hedging

zbMATH Keywords

contingent claimsoptimal strategieshedging strategies

Mathematics Subject Classification ID

Cites Work

• Title not available (Why is that?)
• Regressions by Leaps and Bounds
• A Biometrics Invited Paper. The Analysis and Selection of Variables in Linear Regression
• Title not available (Why is that?)
• Title not available (Why is that?)
• Martingales and stochastic integrals in the theory of continuous trading
• Option hedging for semimartingales
• A stochastic calculus model of continuous trading: Complete markets
• Title not available (Why is that?)
• Optimization Problems in the Theory of Continuous Trading
• Residual risks and hedging strategies in Markovian markets

Cited In (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

This page was built for publication: Hedging Index Options With Few Assets¹

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4371998)