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Leverage Constraints and the Optimal Hedging of Stock and Bond Options

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  • Naik, Vasanttilak
  • Uppal, Raman

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Bibliographic Info

Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 29 (1994)
Issue (Month): 02 (June)
Pages: 199-222

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Handle: RePEc:cup:jfinqa:v:29:y:1994:i:02:p:199-222_00

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Cited by:
  1. Charalambos D. Aliprantis & Rabee Tourky, 2002. "Markets That Don'T Replicate Any Option," Department of Economics - Working Papers Series, The University of Melbourne 832, The University of Melbourne.
  2. Boyle, Phelim & Tian, Weidong, 2008. "The design of equity-indexed annuities," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 303-315, December.
  3. Matos, Joao Amaro de & Antao, Paula, 2000. "Market Illiquidity and the Bid-Ask Spread of Derivatives," FEUNL Working Paper Series wp386, Universidade Nova de Lisboa, Faculdade de Economia.
  4. Korkie, Bob & Nakamura, Mansao & Turtle, Harry J., 2001. "A contingent claim analysis of closed-end fund premia," International Review of Financial Analysis, Elsevier, vol. 10(4), pages 365-394.
  5. Aliprantis, Charalambos D. & Polyrakis, Yiannis A. & Tourky, Rabee, 2002. "The cheapest hedge," Journal of Mathematical Economics, Elsevier, vol. 37(4), pages 269-295, July.
  6. Aliprantis, C. D. & Brown, D. J. & Werner, J., 2000. "Minimum-cost portfolio insurance," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 24(11-12), pages 1703-1719, October.
  7. Valeriy Ryabchenko & Sergey Sarykalin & Stan Uryasev, 2004. "Pricing European Options by Numerical Replication: Quadratic Programming with Constraints," Asia-Pacific Financial Markets, Springer, Springer, vol. 11(3), pages 301-333, September.
  8. Kevin Huang, . "On infinite-horizon minimum-cost hedging under cone constraints," Working Papers, Utah State University, Department of Economics 2000-22, Utah State University, Department of Economics.

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