{"id":"https://openalex.org/W2003006180","doi":"https://doi.org/10.1007/s007800050035","title":"Perfect option hedging for a large trader","display_name":"Perfect option hedging for a large trader","publication_year":1998,"publication_date":"1998-02-01","ids":{"openalex":"https://openalex.org/W2003006180","doi":"https://doi.org/10.1007/s007800050035","mag":"2003006180"},"language":"en","primary_location":{"id":"doi:10.1007/s007800050035","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s007800050035","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":null,"display_name":"Rüdiger Frey","orcid":null},"institutions":[{"id":"https://openalex.org/I35440088","display_name":"ETH Zurich","ror":"https://ror.org/05a28rw58","country_code":"CH","type":"education","lineage":["https://openalex.org/I2799323385","https://openalex.org/I35440088"]}],"countries":["CH"],"is_corresponding":true,"raw_author_name":"Rüdiger Frey","raw_affiliation_strings":["Department of Mathematics, ETH Z\u00fcrich, ETH\u2013Zentrum, CH\u20138092 Z\u00fcrich, Switzerland (e-mail: frey@math.ethz.ch)\n, , , , , , CH","Department of Mathematics, ETH Z\u00fcrich, ETH\u2013Zentrum, CH\u20138092 Z\u00fcrich, Switzerland (e-mail: frey@math.ethz.ch)#N#, , CH"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, ETH Z\u00fcrich, ETH\u2013Zentrum, CH\u20138092 Z\u00fcrich, Switzerland (e-mail: frey@math.ethz.ch)\n, , , , , , CH","institution_ids":["https://openalex.org/I35440088"]},{"raw_affiliation_string":"Department of Mathematics, ETH Z\u00fcrich, ETH\u2013Zentrum, CH\u20138092 Z\u00fcrich, Switzerland (e-mail: frey@math.ethz.ch)#N#, , CH","institution_ids":["https://openalex.org/I35440088"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I35440088"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":2.9516,"has_fulltext":false,"cited_by_count":152,"citation_normalized_percentile":{"value":0.92034774,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"2","issue":"2","first_page":"115","last_page":"141"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.996999979019165,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9958000183105469,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/uniqueness","display_name":"Uniqueness","score":0.6475061178207397},{"id":"https://openalex.org/keywords/hedge","display_name":"Hedge","score":0.6120515465736389},{"id":"https://openalex.org/keywords/derivative","display_name":"Derivative (finance)","score":0.595964789390564},{"id":"https://openalex.org/keywords/stochastic-game","display_name":"Stochastic game","score":0.5921339392662048},{"id":"https://openalex.org/keywords/mathematical-finance","display_name":"Mathematical finance","score":0.5787639617919922},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.5434993505477905},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.5270032286643982},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5001053810119629},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4867565631866455},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.4738272428512573},{"id":"https://openalex.org/keywords/partial-differential-equation","display_name":"Partial differential equation","score":0.467507928609848},{"id":"https://openalex.org/keywords/derivatives-market","display_name":"Derivatives market","score":0.4355146288871765},{"id":"https://openalex.org/keywords/replicating-portfolio","display_name":"Replicating portfolio","score":0.4326939582824707},{"id":"https://openalex.org/keywords/stochastic-differential-equation","display_name":"Stochastic differential equation","score":0.4110822379589081},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.31621214747428894},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.30888301134109497},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.29770416021347046},{"id":"https://openalex.org/keywords/futures-contract","display_name":"Futures contract","score":0.29209595918655396},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.2874296009540558},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.07975506782531738},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.07364779710769653}],"concepts":[{"id":"https://openalex.org/C2777021972","wikidata":"https://www.wikidata.org/wiki/Q22976830","display_name":"Uniqueness","level":2,"score":0.6475061178207397},{"id":"https://openalex.org/C70771513","wikidata":"https://www.wikidata.org/wiki/Q235779","display_name":"Hedge","level":2,"score":0.6120515465736389},{"id":"https://openalex.org/C111771559","wikidata":"https://www.wikidata.org/wiki/Q66295","display_name":"Derivative (finance)","level":2,"score":0.595964789390564},{"id":"https://openalex.org/C22171661","wikidata":"https://www.wikidata.org/wiki/Q1074380","display_name":"Stochastic game","level":2,"score":0.5921339392662048},{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.5787639617919922},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.5434993505477905},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.5270032286643982},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5001053810119629},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4867565631866455},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.4738272428512573},{"id":"https://openalex.org/C93779851","wikidata":"https://www.wikidata.org/wiki/Q271977","display_name":"Partial differential equation","level":2,"score":0.467507928609848},{"id":"https://openalex.org/C95727064","wikidata":"https://www.wikidata.org/wiki/Q1934287","display_name":"Derivatives market","level":3,"score":0.4355146288871765},{"id":"https://openalex.org/C21099588","wikidata":"https://www.wikidata.org/wiki/Q7314068","display_name":"Replicating portfolio","level":4,"score":0.4326939582824707},{"id":"https://openalex.org/C51955184","wikidata":"https://www.wikidata.org/wiki/Q1545585","display_name":"Stochastic differential equation","level":2,"score":0.4110822379589081},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.31621214747428894},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.30888301134109497},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.29770416021347046},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.29209595918655396},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.2874296009540558},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.07975506782531738},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.07364779710769653},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1007/s007800050035","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s007800050035","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},{"id":"pmh:oai:research.wu.ac.at:publications/e8599e4a-6acf-4060-bebd-9e1fa2425c4d","is_oa":false,"landing_page_url":"https://research.wu.ac.at/de/publications/e8599e4a-6acf-4060-bebd-9e1fa2425c4d","pdf_url":null,"source":{"id":"https://openalex.org/S7407055123","display_name":"WU Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Frey, R 1998, 'Perfect Option Hedging for a Large Trader', Finance and Stochastics, vol. 2, no. 2, pp. 115 - 141. https://doi.org/10.1007/s007800050035","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.416.2354","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.416.2354","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://janroman.dhis.org/finance/Hedgeing/Perfect Hedgeing fo a Large Trader.pdf","raw_type":"text"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.49.3357","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.49.3357","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.math.ethz.ch/~frey/large_trader.ps","raw_type":"text"},{"id":"pmh:oai:RePEc:spr:finsto:v:2:y:1998:i:2:p:115-141","is_oa":false,"landing_page_url":"http://link.springer.de/link/service/journals/00780/papers/8002002/80020115.ps.gz","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.5099999904632568,"display_name":"Partnerships for the goals","id":"https://metadata.un.org/sdg/17"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":26,"referenced_works":["https://openalex.org/W1503295912","https://openalex.org/W1580561995","https://openalex.org/W1600624394","https://openalex.org/W1602967628","https://openalex.org/W1966701888","https://openalex.org/W2018055712","https://openalex.org/W2036185216","https://openalex.org/W2041550349","https://openalex.org/W2076231812","https://openalex.org/W2076458153","https://openalex.org/W2077791698","https://openalex.org/W2081877251","https://openalex.org/W2093231763","https://openalex.org/W2098894951","https://openalex.org/W2100899667","https://openalex.org/W2129098923","https://openalex.org/W2138297771","https://openalex.org/W2142859812","https://openalex.org/W2146612430","https://openalex.org/W2152554345","https://openalex.org/W2284209006","https://openalex.org/W2369386221","https://openalex.org/W3122823468","https://openalex.org/W3125169406","https://openalex.org/W3125719347","https://openalex.org/W3125769591"],"related_works":["https://openalex.org/W1701575855","https://openalex.org/W2688184208","https://openalex.org/W2993621103","https://openalex.org/W4230267435","https://openalex.org/W1439583534","https://openalex.org/W2141791186","https://openalex.org/W1603927026","https://openalex.org/W2155585950","https://openalex.org/W2937918892","https://openalex.org/W2128350654"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":4},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":5},{"year":2017,"cited_by_count":12},{"year":2016,"cited_by_count":8},{"year":2015,"cited_by_count":6},{"year":2014,"cited_by_count":5},{"year":2013,"cited_by_count":6},{"year":2012,"cited_by_count":7}],"updated_date":"2026-07-02T09:51:11.867554","created_date":"2025-10-10T00:00:00"}