[automatically translated] Through a super-replication model, you can build a portfolio consisting of liquid securities to cover the option basketball on the production of silver and gold mix. The price is not very different from that of Black & Scholes, whose hypotheses however make it impossible to implement the hedge.
|Number of pages||9|
|Journal||ANNALI DELLA FACOLTÀ DI ECONOMIA. UNIVERSITÀ DI PALERMO|
|Publication status||Published - 2013|