Garleanu, Nicolae (contributor); … - 2005
dynamic trading of many assets, hedging using the underlying and bonds,
4
stochastic volatility, and jumps. The generality of … = −dit > 0 units of this derivative,
while hedging their position using a position of θt in the underlying. The pricing … amount of hedging risk that a marginal position in security
i would add to the dealer’s portfolio, that is, it is the sum of …