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- W3158325318 abstract "In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can construct an optimal portfolio such that at the moment of the contract’s maturity the contract is perfectly hedged. We derive both the optimal holdings in the underlying assets for the trader’s optimal mean-variance portfolio and the amount of unhedged risk prior to maturity. Solutions assuming the cases where the price dynamics in the underlying assets follows discrete binomial price dynamics, continuous diffusions, stochastic volatility, volatility-of-volatility, and Merton-jump diffusion are derived." @default.
- W3158325318 created "2021-05-10" @default.
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- W3158325318 date "2019-01-01" @default.
- W3158325318 modified "2023-09-24" @default.
- W3158325318 title "Option Pricing in an Investment Risk-Return Setting" @default.
- W3158325318 doi "https://doi.org/10.2139/ssrn.3428633" @default.
- W3158325318 hasPublicationYear "2019" @default.
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