Hedging Under an Expected Loss Constraint with Small Transaction Costs
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Publication:3188153
DOI10.1137/15M1006787zbMath1345.60030arXiv1309.4916WikidataQ57635844 ScholiaQ57635844MaRDI QIDQ3188153
Ludovic Moreau, Bruno Bouchard, Halil Mete Soner
Publication date: 17 August 2016
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.4916
60G42: Martingales with discrete parameter
49L20: Dynamic programming in optimal control and differential games
90C39: Dynamic programming
91G80: Financial applications of other theories
60F99: Limit theorems in probability theory
Related Items
Deep hedging, Time-Inconsistent Portfolio Investment Problems, Option replication with transaction cost under Knightian uncertainty, A constructive method for convex solutions of a class of nonlinear Black-Scholes equations, Simple bounds for utility maximization with small transaction costs
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