Option overlay strategies

DOI10.1080/14697688.2014.989898MaRDI QIDQ4683071zbMATH OpenOpenAlexFDO

Authors Dilip B. Madan, Y. M. Sharaiha

Publication date 19 September 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2014.989898

zbMATH Keywords

digital moment estimationdistorted expectationSato processself similarityvariance gamma law

Mathematics Subject Classification ID

Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

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• THE RANGE OF TRADED OPTION PRICES
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• Theory of constant proportion portfolio insurance
• Two price economies in continuous time

Cited in

(2)

• Dynamic conic hedging for competitiveness
• The zero-capital approach to portfolio enhancement and overlay management

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