Hedging Index Options With Few Assets1

Damien Lamberton and Bernard Lapeyre

Mathematical Finance, 1993, vol. 3, issue 1, 25-41

Abstract: 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.

Date: 1993
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