Electronic Resource
Oxford, UK
:
Blackwell Publishing Ltd
Mathematical finance
3 (1993), S. 0
ISSN:
1467-9965
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Mathematics
,
Economics
Notes:
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.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/j.1467-9965.1993.tb00036.x
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