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Hedging Index Options With Few Assets1

Author

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  • Damien Lamberton
  • Bernard Lapeyre

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.

Suggested Citation

  • Damien Lamberton & Bernard Lapeyre, 1993. "Hedging Index Options With Few Assets1," Mathematical Finance, Wiley Blackwell, vol. 3(1), pages 25-41, January.
    • Handle: RePEc:bla:mathfi:v:3:y:1993:i:1:p:25-41
    DOI: 10.1111/j.1467-9965.1993.tb00036.x
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    Cited by:

    1. Christian Gourieroux & Jean Paul Laurent & Huyên Pham, 1998. "Mean‐Variance Hedging and Numéraire," Mathematical Finance, Wiley Blackwell, vol. 8(3), pages 179-200, July.
    2. Dirk Becherer & Ian Ward, 2010. "Optimal Weak Static Hedging of Equity and Credit Risk Using Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(1), pages 1-28.

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