This paper addresses the problem of option hedging and pricing when a futures contract, written either on the underlying asset or on some imperfectly correlated substitute for the underlying asset, is used in the dynamic replication of the option payoff.
Professor of finance, EDHEC Business School and scientific director, EDHEC-Risk Institute
Research engineer, EDHEC-Risk Institute
|Type :||Working paper|
|Date :||le 22/02/2011|
|Extra information :||For more information, please contact Joanne Finlay, EDHEC Research and Development Department [ firstname.lastname@example.org ] The contents of this paper do not necessarily reflect the opinions of EDHEC Business School.|
|Research Cluster :||Finance|