{"paper":{"title":"Hedging Options on Asset Portfolios against Just One Underlying Asset in the Presence of Transaction Costs","license":"http://creativecommons.org/licenses/by/4.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.MF","authors_text":"Erina Nanyonga, Matt Davison","submitted_at":"2025-09-09T13:19:23Z","abstract_excerpt":"Options are contingent claims regarding the value of underlying assets. The Black-Scholes formula provides a road map for pricing these options in a risk-neutral setting, justified by a delta hedging argument in which countervailing positions of appropriate size are taken in the underlying asset. However, what if an underlying asset is expensive to trade? It might be better to hedge with a different, but related asset that is cheaper to trade. This study considers this question in a setting in which the option written on a portfolio containing $\\alpha$ shares of one asset $S_{t_1}$ and $(1-\\al"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2509.07718","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2509.07718/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}