, the integrated risk of group assets can be divided to hedging risk and independent risk, and the corresponding models are … optimal ratio between underlying asset and its derivative in hedging. The approach to determine the optimal ratio in hedging …

use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use … of numerical methods for pricing, hedging, and risk management of financial instruments. …

Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black …) hedging the total risk of each option separately, the correct hedge portfolio in discrete time eliminates linear (delta) as … indefinitely. This ties the literature on option pricing and hedging closer together with the APT literature in its focus on …