Hedging Large Portfolios of Options in Discrete Time*

DOI10.1080/13504860701718471zbMath1142.91559OpenAlexW2020411615MaRDI QIDQ3523655

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Publication date: 5 September 2008

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860701718471

zbMATH Keywords

discrete timeoption hedgingstatic hedginghedging errorscross-sectional hedgingpreference free valuation

Mathematics Subject Classification ID

Cites Work

• The Pricing of Options and Corporate Liabilities
• Asymptotic arbitrage in large financial markets
• A Portfolio Approach to Risk Reduction in Discretely Rebalanced Option Hedges
• Diversified Portfolios in Continuous Time *
• Common risk factors in the returns on stocks and bonds
• DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS

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