Option replication with transaction costs: general diffusion limits

DOI10.1214/AOAP/1028903447zbMATH Open0934.91024OpenAlexW2031097536MaRDI QIDQ1296601FDOQ1296601

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

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

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)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• Optimum consumption and portfolio rules in a continuous-time model
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Portfolio Selection with Transaction Costs
• Title not available (Why is that?)
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• Option pricing: A simplified approach
• Title not available (Why is that?)
• MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
• European Option Pricing with Transaction Costs
• Title not available (Why is that?)

Cited In (13)

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

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)