Hedging Under an Expected Loss Constraint with Small Transaction Costs

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

zbMATH Keywords

dynamic programming; asymptotic expansion; hedging; transaction costs; expected loss constraint

Mathematics Subject Classification ID

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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