Option replication with transaction costs: general diffusion limits

DOI10.1214/AOAP/1028903447MaRDI QIDQ1296601zbMATH OpenOpenAlexFDO

Authors Hyungsok Ahn, Mohit Dayal, E. R. Grannan, G. H. Swindle

Publication date 23 November 1999

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aoap/1028903447

zbMATH Keywords

transaction costsdiffusion limitshedging strategiesreplication errorsstock price strategies

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• Asymptotic replication with modified volatility under small transaction costs
• Limit theorem on option replication cost with transaction costs
• MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
• Approximate hedging problem with transaction costs in stochastic volatility markets
• Small transaction cost asymptotics and dynamic hedging

Cites work

• scientific article; zbMATH DE number 3883355 (Why is no real title available?)
• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 52131 (Why is no real title available?)
• scientific article; zbMATH DE number 3583004 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• European Option Pricing with Transaction Costs
• MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
• Optimum consumption and portfolio rules in a continuous-time model
• Option pricing: A simplified approach
• Portfolio Selection with Transaction Costs
• The pricing of options and corporate liabilities

Cited in

(13)

• Approximate hedging of contingent claims under transaction costs for general pay-offs
• Limit theorem for Leland's strategy
• A TRANSACTION COST CONVERGENCE RESULT FOR GENERAL HEDGING STRATEGIES
• Limit theorem on option replication cost with transaction costs
• Asymptotic replication with modified volatility under small transaction costs
• Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps
• Efficient option replication in the presence of transactions costs
• EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
• An endogenous volatility approach to pricing and hedging call options with transaction costs
• Approximate hedging problem with transaction costs in stochastic volatility markets
• A note on convergence of an approximate hedging portfolio with liquidity risk
• Hedging Problem for Asian Call Options with Transaction Costs
• Structuring an option to facilitate replication with transaction costs

This page was built for publication: Option replication with transaction costs: general diffusion limits

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1296601)