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q-fin.PR2012★ 1 cited
Pricing Illiquid Options with Liquid Proxies Using Mixed Dynamic-Static Hedging
I. Halperin, A. Itkin
We study the problem of optimal pricing and hedging of a European option written on an illiquid asset using a set of proxies: a liquid asset , and liquid European option…
q-fin.PR2012★ 1 cited
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
Igor Halperin, Andrey Itkin
This work addresses the problem of optimal pricing and hedging of a European option on an illiquid asset Z using two proxies: a liquid asset S and a liquid European option on anoth…