Option pricing and hedging in the presence of cross-hedge risk

Hedging portfolio risk

academic-jigsaw

In recent research1 drawn from the “Structured Products and Derivative Instruments” research chair at Edhec-Risk Institute sponsored by the French Banking Federation (FBF), we addressed the question of option pricing and hedging when the underlying asset is not available for dynamic trading, and some other asset is used as a substitute.

We first provided an overview of the various hedging methodologies that can be used in this incomplete market setting, distinguishing between self-financing and n

To continue reading...

You must be signed in to use this feature.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: