MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES

DOI10.1111/J.1467-9965.1996.TB00121.XzbMATH Open0915.90019OpenAlexW2126096180MaRDI QIDQ4226869FDOQ4226869

Authors: E. R. Grannan, G. H. Swindle 

Publication date: 23 February 1999

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1996.tb00121.x

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zbMATH Keywords

transaction costshedging strategiesoption hedging strategies

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The pricing of options and corporate liabilities
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• Optimum consumption and portfolio rules in a continuous-time model
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• Option pricing: A simplified approach
• European Option Pricing with Transaction Costs
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Cited In (33)

• A TRANSACTION COST CONVERGENCE RESULT FOR GENERAL HEDGING STRATEGIES
• An endogenous volatility approach to pricing and hedging call options with transaction costs
• Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
• Tractable hedging with additional hedge instruments
• Hedging Options with Transaction Costs
• Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
• On the numerical aspects of optimal option hedging with transaction costs
• Structuring an option to facilitate replication with transaction costs
• Title not available (Why is that?)
• Approximate hedging of contingent claims under transaction costs for general pay-offs
• Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps
• Tractable hedging: An implementation of robust hedging strategies
• Asymptotic replication with modified volatility under small transaction costs
• Minimax hedging strategy
• Mean square error for the Leland-Lott hedging strategy: convex pay-offs
• Efficient hedging of options with probabilistic Haar wavelets
• THE BEST HEDGING STRATEGY IN THE PRESENCE OF TRANSACTION COSTS
• A novel portfolio optimization method and its application to the hedging problem
• Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach
• Option replication with transaction costs: general diffusion limits
• Option pricing and hedging with minimum local expected shortfall
• Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs.
• Differential game-theoretic thoughts on option pricing and transaction costs
• Rational hedging with a diversity of implied volatilities
• PRICING OF RAINBOW OPTIONS: GAME THEORETIC APPROACH
• Valuation of European options with stochastic interest rates and transaction costs
• Effectiveness of CPPI strategies under discrete-time trading
• Simulations of transaction costs and optimal rehedging
• Hedging European and barrier options using stochastic optimization
• THE LEAST COST SUPER REPLICATING PORTFOLIO IN THE BOYLE–VORST MODEL WITH TRANSACTION COSTS
• Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces
• Approximate hedging problem with transaction costs in stochastic volatility markets
• Option hedging theory under transaction costs

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