Research Article

A Time-Series Approach to Non-Self-Financing Hedging in a Discrete-Time Incomplete Market

Table 4

Options used in data analysis.

Company name   Option  Days to expiration () Strike price Expiration data

Bank of America Corp.BAC+CJ3050March 17, 2007
Bank of America Corp.BAC+CW3047.50March 17, 2007
Bank of America Corp.BAC+CX3052.50March 17, 2007
Bank of America Corp.BAC+JV10, 15, 20, 25, 3042.50October 15, 2004
Cisco Systems, Inc.CYQ+CE3025March 17, 2007
Cisco Systems, Inc.CYQ+CX3022.50March 17, 2007
Cisco Systems, Inc.CYQ+CY3027.50March 17, 2007
Exxon Mobil Corp.XOM+CN3070March 17, 2007
Exxon Mobil Corp.XOM+CO3075March 17, 2007
Exxon Mobil Corp.XOM+JI30, 2045October 15, 2004
Exxon Mobil Corp.XOM+JV30, 20, 1042.5October 15, 2004
General Electric Co.GE+CF10, 15, 20, 25, 3030March 17, 2007
General Electric Co.GE+CG10, 20, 3035March 17, 2007
General Electric Co.GE+CY3027.5March 17, 2007
General Electric Co.GE+CZ3032.50March 17, 2007
General Electric Co.GE+JF3030October 15, 2004
HJ Heinz Co.HNZ+CI3045March 17, 2007
HJ Heinz Co.HNZ+CJ3050March 17, 2007
Intel Corp.INQ+CD30, 20, 1020March 17, 2007
IntelCorp.INQ+JE30, 20, 1025October 15, 2004
Merrill Lynch& Co., Inc.MER+CP3080March 17, 2007
Morgan StanleyMS+CO3075March 17, 2007
Microsoft Corp.MSQ+CK3030March 17, 2007
Microsoft Corp.MSQ+CY20, 3027.50March 17, 2007
Microsoft Corp.MSQ+JE3025October 15, 2004
Microsoft Corp.MQF+JX3022.50October 15, 2004
Walmart Stores, Inc.WMT+CH10, 15, 20, 25, 3040March 17, 2007
Walmart Stores, Inc.WMT+CJ10, 20, 3050March 17, 2007
Walmart Stores, Inc.WMT+JJ30, 20, 750October 15, 2004