MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
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Publication:4226869
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Cites work
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- 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
- Tractable hedging with additional hedge instruments
- Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
- On the numerical aspects of optimal option hedging with transaction costs
- Hedging Options with Transaction Costs
- Structuring an option to facilitate replication with transaction costs
- Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
- Approximate hedging of contingent claims under transaction costs for general pay-offs
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- Tractable hedging: An implementation of robust hedging strategies
- Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps
- Asymptotic replication with modified volatility under small transaction costs
- Mean square error for the Leland-Lott hedging strategy: convex pay-offs
- Minimax hedging strategy
- Efficient hedging of options with probabilistic Haar wavelets
- THE BEST HEDGING STRATEGY IN THE PRESENCE OF TRANSACTION COSTS
- Option replication with transaction costs: general diffusion limits
- A novel portfolio optimization method and its application to the hedging problem
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- 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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