Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs
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Publication:3437400
DOI10.1080/14697680600724809zbMath1134.91472OpenAlexW2025565143MaRDI QIDQ3437400
Publication date: 9 May 2007
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680600724809
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Related Items (6)
Robust option pricing ⋮ Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment ⋮ The play operator, the truncated variation and the generalisation of the Jordan decomposition ⋮ THE BEST HEDGING STRATEGY IN THE PRESENCE OF TRANSACTION COSTS ⋮ Minimizing CVaR in global dynamic hedging with transaction costs ⋮ An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs
Cites Work
- The Pricing of Options and Corporate Liabilities
- European option pricing and hedging with both fixed and proportional transaction costs
- Option pricing with transaction costs and a nonlinear Black-Scholes equation
- Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach
- Optimal delta-hedging under transactions costs
- Coherent Measures of Risk
- An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
- European Option Pricing with Transaction Costs
- Simulations of transaction costs and optimal rehedging
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