MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES

DOI10.1111/j.1467-9965.1996.tb00121.xzbMath0915.90019OpenAlexW2126096180MaRDI QIDQ4226869

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

zbMATH Keywords

transaction costshedging strategiesoption hedging strategies

Mathematics Subject Classification ID

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

Related Items (17)

Asymptotic replication with modified volatility under small transaction costs ⋮ Valuation of European options with stochastic interest rates and transaction costs ⋮ Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces ⋮ PRICING OF RAINBOW OPTIONS: GAME THEORETIC APPROACH ⋮ THE LEAST COST SUPER REPLICATING PORTFOLIO IN THE BOYLE–VORST MODEL WITH TRANSACTION COSTS ⋮ Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps ⋮ DIFFERENTIAL GAME-THEORETIC THOUGHTS ON OPTION PRICING AND TRANSACTION COSTS ⋮ Mean square error for the Leland-Lott hedging strategy: convex pay-offs ⋮ Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions ⋮ An endogenous volatility approach to pricing and hedging call options with transaction costs ⋮ A TRANSACTION COST CONVERGENCE RESULT FOR GENERAL HEDGING STRATEGIES ⋮ Tractable hedging: An implementation of robust hedging strategies ⋮ Tractable hedging with additional hedge instruments ⋮ Effectiveness of CPPI strategies under discrete-time trading ⋮ Approximate Hedging of Contingent Claims under Transaction Costs for General Pay-offs ⋮ Option replication with transaction costs: general diffusion limits ⋮ Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs.

Cites Work

• The Pricing of Options and Corporate Liabilities
• Optimum consumption and portfolio rules in a continuous-time model
• European Option Pricing with Transaction Costs
• Option pricing: A simplified approach
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