CONDITIONAL-MEAN HEDGING UNDER TRANSACTION COSTS IN GAUSSIAN MODELS

DOI10.1142/S0219024918500152zbMath1395.91468arXiv1708.03242OpenAlexW2745310244MaRDI QIDQ4634641

Lauri Viitasaari, Tommi Sottinen

Publication date: 11 April 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.03242

zbMATH Keywords

predictionoption pricingtransaction costsdelta-hedging

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• GAUSSIAN

Cites Work

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