Hedging Under an Expected Loss Constraint with Small Transaction Costs
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Publication:3188153
DOI10.1137/15M1006787zbMath1345.60030arXiv1309.4916WikidataQ57635844 ScholiaQ57635844MaRDI QIDQ3188153
Ludovic Moreau, Bruno Bouchard, Halil Mete Soner
Publication date: 17 August 2016
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.4916
Martingales with discrete parameter (60G42) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Financial applications of other theories (91G80) Limit theorems in probability theory (60F99)
Related Items
Simple bounds for utility maximization with small transaction costs, Time-Inconsistent Portfolio Investment Problems, Option replication with transaction cost under Knightian uncertainty, Deep hedging, A constructive method for convex solutions of a class of nonlinear Black-Scholes equations
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