Pricing Illiquid Options With N 1 Liquid Proxies Using Mixed Dynamic Static Hedging
Work
Year: 2013
Type: article
Abstract: We study the problem of the optimal pricing and hedging of a European option written on an illiquid asset Z using a set of proxies: a liquid asset S, and N liquid European options P i , each written o... more
Authors Igor Halperin, Andrey Itkin
Institutions JPMorgan Chase & Co (United States), SUNY Polytechnic Institute, New York University, Metropolitan Community College
Cites: 21
Cited by: 2
Related to: 10
FWCI: 0.329
Citation percentile (by year/subfield): 51.03
Subfield: Finance
Domain: Social Sciences
Open Access status: green