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Optimal Hedging and the Partial Loss Offset Provision

✍ Scribed by Eric Briys; François De Varenne


Book ID
108559572
Publisher
John Wiley and Sons
Year
1998
Tongue
English
Weight
73 KB
Volume
4
Category
Article
ISSN
1354-7798

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


Optimal partial hedging of options with
✍ A. Elizabeth Whalley 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 823 KB

## Abstract This study uses asymptotic analysis to derive optimal hedging strategies for option portfolios hedged using an imperfectly correlated hedging asset with small fixed and/or proportional transaction costs, obtaining explicit formulae in special cases. This is of use when it is impractical

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Hedging benefits offered by the futures market come at a cost. This article develops a concept of hedging costs, shows how it impacts the hedging decision, and derives an optimal hedge ratio in the context of the cost concept. The hedging cost of using futures is comprised of two components. The fir