most citedPricing Illiquid Options with Liquid Proxies Using Mixed Dynamic-Static Hedging

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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…