HALPERIN, IGOR; ITKIN, ANDREY - In: International Journal of Theoretical and Applied … 16 (2013) 07, pp. 1350033-1
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...
