HIGHLIGHTS
- who: Pornnapat Yamphram and collaborators from the Department of Mathematics, Faculty of Science, Kasetsart University, Bangkok, Thailand have published the research work: Pricing and Hedging Index Options under Mean-Variance Criteria in Incomplete Markets, in the Journal: Computation 2023, 11, 30. of 19/05/2020
- what: Although the approach works reasonably well in practice when there are enough options available in the markets, the combination of replicating the payoff might not be most suitable. The model is an extension of the classical portfolio optimization model described where an agent may have an initial liability and . . .
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