Hedging of the European option in discrete time under proportional transaction costs

DOI10.1007/s001860300323zbMath1099.91064OpenAlexW2163739376MaRDI QIDQ1762679

Marek Kociński

Publication date: 11 February 2005

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860300323

zbMATH Keywords

self-financing strategy

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20)

Related Items (7)

Discrete-time delta hedging and the Black-Scholes model with transaction costs ⋮ American contingent claims under small proportional transaction costs ⋮ Game options with gradual exercise and cancellation under proportional transaction costs ⋮ A counter-example to an option pricing formula under transaction costs ⋮ ON THE NUMERICAL ASPECTS OF OPTIMAL OPTION HEDGING WITH TRANSACTION COSTS ⋮ Options under proportional transaction costs: An algorithmic approach to pricing and hedging ⋮ Optimal hedging in an extended binomial market under transaction costs

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