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Mean-variance hedging in an illiquid market
Consider a market consisting of two correlated assets: one liquidly traded asset and one illiquid asset that can only be traded at time 0. For a European derivative written on the illiquid asset, we find a hedging strategy consisting of a constant (time 0) holding in the illiquid asset and dynamic t...
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| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2015
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