Efficient option replication in the presence of transactions costs

DOI10.1023/A:1009632624999MaRDI QIDQ375322zbMATH OpenOpenAlexFDO

Authors Lionel Martellini

Publication date 29 October 2013

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1009632624999

zbMATH Keywords

transaction costsmulti-scaleoption hedgingtime-scale diversification

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cited in

(3)

• Call option pricing and replication under economic friction
• Rational hedging with a diversity of implied volatilities
• Robust Risk-Aware Option Hedging

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