Replicating strategy
In Finance a Replicating Strategy of a particular financial instrument is a set of liquid, usually exchange-traded assets with the same net profit.
References
Definition :
A dynamic trading strategy that shifts a portfolio's exposure between a riskless and a risky asset or between two or more risky assets in order to produce the same payoff function as another strategy or asset. Portfolio insurance, for example, which shifts a portfolio between a riskless and a risky asset, is designed to produce the same payoff function a protective put option strategy. Replicating strategies are used by dealers to hedge the risk exposure that arises from writing options.
http://www.amex.com/servlet/AmexFnDictionary?pageid=display&titleid=5146 [1]
Self financing
Adamissable
Vt=(St-K)>0
- ↑ © Copyright 1996, 1999 Gary L.Gastineau. First Edition. © 1992 Swiss Bank Corporation.