How fast does it diverge? Discrete hedging error with transaction costs
From MaRDI portal
Publication:2046239
DOI10.1007/S10255-021-1017-9zbMATH Open1476.91193OpenAlexW3192868662MaRDI QIDQ2046239FDOQ2046239
Publication date: 17 August 2021
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10255-021-1017-9
Recommendations
- Hedging of the European option in discrete time under proportional transaction costs
- Discrete-time delta hedging and the Black-Scholes model with transaction costs
- Leland's approach to option pricing: The evolution of a discontinuity
- Hedging of the European option in discrete time under transaction costs depending on time
- Asymptotics for discrete time hedging errors under fractional Black-Scholes models
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- Stochastic calculus for finance. II: Continuous-time models.
- Markets with transaction costs. Mathematical theory.
- On Leland's strategy of option pricing with transactions costs
- Limit theorem for Leland's strategy
- Leland's approach to option pricing: The evolution of a discontinuity
- Convergence and optimality of BS-type discrete hedging strategy under stochastic interest rate
- Modified Leland's strategy for a constant transaction costs rate
- Approximate hedging of contingent claims under transaction costs for general pay-offs
Cited In (3)
This page was built for publication: How fast does it diverge? Discrete hedging error with transaction costs
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2046239)
