Local risk-minimization under transaction costs
This paper proposes a new approach to the pricing and hedging of contingent claims under transaction costs in a general incomplete market in discrete time. Under the assumption of a bounded mean-variance tradeoff, substantial risk and nongeneracy condition on the conditional variance of asset returns, the existence of a locally risk-minimizing action (strategy) inclusive of transaction costs for every square-integrable contingent claim is proved. The robustness of local risk-minimization under the inclusion of transaction costs is shown. In particular, the results apply to any nondegenerate model with a finite state space if the transaction cost parameter is sufficiently small.
- Mean-variance hedging under transaction costs
- Risk minimization in the model with transaction costs
- Locally risk-minimizing strategies in discrete time incomplete financial markets
- Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets
- Quantile hedging on markets with proportional transaction costs
- Option pricing with linear market impact and nonlinear Black-Scholes equations
- Risk minimization under transaction costs
- Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts
- Local risk-minimization under the benchmark approach
- Mean-variance hedging under transaction costs
- Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets
- Local risk minimization for defaultable markets
- On the existence of shadow prices
- Risk minimization in the model with transaction costs
- Local risk-minimization with multiple assets under illiquidity with applications in energy markets
- scientific article; zbMATH DE number 1861578 (Why is no real title available?)
- Lattice-based hedging schemes under GARCH models
- Tax- and expense-modified risk-minimization for insurance payment processes
- Existence of shadow prices in finite probability spaces
- General type and robustness of local minimal risk strategies
- Locally risk-minimizing strategies in discrete time incomplete financial markets
- Risk measure pricing and hedging in the presence of transaction costs
- Local risk-minimization under restricted information on asset prices
- Options under proportional transaction costs: An algorithmic approach to pricing and hedging
- Option pricing with transaction costs using a Markov chain approximation
- On using shadow prices in portfolio optimization with transaction costs
This page was built for publication: Local risk-minimization under transaction costs
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2757552)
