Asymptotic replication with modified volatility under small transaction costs

DOI10.1007/s00780-016-0294-2zbMath1360.91139arXiv1408.5677OpenAlexW2962900131MaRDI QIDQ287666

Masaaki Fukasawa, Jiatu Cai

Publication date: 23 May 2016

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.5677

zbMATH Keywords

stochastic optimal controlcentral limit theoremtransaction coststransaction costbenchmark strategydisctretizationoptimal hedging

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Functional limit theorems; invariance principles (60F17)

Related Items (3)

Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps ⋮ Super-replication with fixed transaction costs ⋮ Scaling limits of processes with fast nonlinear mean reversion

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