Pricing and Hedging Index Options under Mean-Variance Criteria in Incomplete Markets
This paper studies the portfolio selection problem where tradable assets are a bank account, and standard put and call options are written on the S&P 500 index in incomplete markets in which there exist bid–ask spreads and finite liquidity. The problem is mathematically formulated as an optimiza...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-02-01
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| Series: | Computation |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2079-3197/11/2/30 |