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Applied Mathematical Finance Volume 15, 2008 - Issue 3
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PAPERS

Hedging Large Portfolios of Options in Discrete TimeFootnote*

B. Peeters Structured Products, ING Investment Management, NL‐2509LL The Hague, The Netherlands; Postdoctoral Program in Asset Management (FBA), Vrije Universiteit Amsterdam, The Netherlands
,
C. L. Dert Structured Asset Management, ABN AMRO Asset Management, Amsterdam, The Netherlands
&
A. Lucas Dept. of Finance, FEWEB/FIN Vrije Universiteit Amsterdam, and Tinbergen Institute Amsterdam, Amsterdam, The NetherlandsCorrespondence[email protected]
Pages 251-275 | Received 16 Mar 2006, Accepted 10 Jan 2007, Published online: 24 May 2008

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