Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs

DOI10.1080/1350486X.2013.871802MaRDI QIDQ4586034zbMATH OpenOpenAlexFDO

Authors

Publication date 11 September 2018

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

Full work available at URL https://doi.org/10.1080/1350486x.2013.871802

zbMATH Keywords

approximate hedgingLeland's strategylocal volatilitytransaction costs

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Approximate hedging problem with transaction costs in stochastic volatility markets
• Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps
• Approximate hedging for nonlinear transaction costs on the volume of traded assets
• Quantile hedging on markets with proportional transaction costs
• On approximation of implied volatility in local volatility models
• On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model
• Local volatility in the Heston model: a Malliavin calculus approach
• Robust hedging with proportional transaction costs
• Mean-variance hedging under transaction costs
• New approximations in local volatility models

Cites work

• Approximate hedging of contingent claims under transaction costs for general pay-offs
• Convexity of solutions of parabolic equations
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 3505981 (Why is no real title available?)
• scientific article; zbMATH DE number 3233089 (Why is no real title available?)
• Limit theorem for Leland's strategy
• Modified Leland's strategy for a constant transaction costs rate
• On decoupling of volatility smile and term structure in inverse option pricing
• Propagation of convexity by Markovian and martingalian semigroups
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets

Cited in

(8)

• A family of density expansions for Lévy-type processes
• Approximate hedging for nonlinear transaction costs on the volume of traded assets
• Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps
• Approximate hedging problem with transaction costs in stochastic volatility markets
• On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model
• Diffusion equations: convergence of the functional scheme derived from the binomial tree with local volatility for non smooth payoff functions
• Hedging Problem for Asian Call Options with Transaction Costs
• Pricing without martingale measure

This page was built for publication: Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4586034)