VALUTAZIONE E COPERTURA DI OPZIONI SU MATERIE PRIME

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Abstract

[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.
Original languageItalian
Pages (from-to)158-166
Number of pages9
JournalANNALI DELLA FACOLTÀ DI ECONOMIA. UNIVERSITÀ DI PALERMO
Publication statusPublished - 2013

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