Option hedging theory under transaction costs

DOI10.1016/J.JEDC.2009.04.007zbMath1182.91179OpenAlexW2058187657MaRDI QIDQ1042722

Tze Leung Lai, Tiong Wee Lim

Publication date: 7 December 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2009.04.007

zbMATH Keywords

optimal stoppingtransaction costsbackward inductionsingular stochastic controloption hedgingvolatility adjustment

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis

Cites Work

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