An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies

@article{Grossman1987AnAO,
  title={An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies},
  author={Sanford J. Grossman},
  journal={Risk Management},
  year={1987}
}
Recent advances in financial theory have created an understanding of the environments in which a real security can be synthesized by a dynamic trading strategy in a risk free asset and other securities. We contend that there is a crucial distinction between a synthetic security and a real security, in particular the notion that a real security is redundant when it can be synthesized by a dynamic trading strategy ignores the informational role of real securities markets. The replacement of a… 
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