Explicit formulas for the minimal variance hedging strategy in a martingale case

Flavio Angelini and Stefano Herzel

No 35/2007, Quaderni del Dipartimento di Economia, Finanza e Statistica from Università di Perugia, Dipartimento Economia

Abstract: We explicitly compute the optimal strategy in discrete time for a European option and the variance of the corresponding hedging error under the hypothesis that the underlying is a martingale following a Geometric Brownian motion.

Keywords: minimal; variance; hedging (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Pages: 22
Date: 2007-08-15
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Citations: View citations in EconPapers (7)

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Journal Article: Explicit formulas for the minimal variance hedging strategy in a martingale case (2010)
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