Hedging in Jump Diffusion Model with Transaction Costs

MaRDI QIDQ6741096arXivFDO

Authors Hamidreza Maleki Almani, Foad Shokrollahi, Tommi Sottinen

Publication date 2024

Published in arXiv

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60) Brownian motion (60J65) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Jump processes on general state spaces (60J76) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

arXiv classification

q-fin.MF

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