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Persistent link: https://www.econbiz.de/10010233264
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 Pi, each written on a liquid asset Yi, i = 1, N. We assume that the S-hedge is dynamic while the multi-name Y-hedge...
Persistent link: https://www.econbiz.de/10010883220