Simulations of transaction costs and optimal rehedging

DOI10.1080/13504869400000003zbMATH Open0832.90006OpenAlexW2073238979MaRDI QIDQ4845149FDOQ4845149

Authors: Benjamin Mohamed 

Publication date: 5 March 1996

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

Full work available at URL: http://www.tandf.co.uk/journals/routledge/1350486X.html

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zbMATH Keywords

Monte Carlo simulationsproportional transaction costshedging optionsBlack-Scholes environment

Mathematics Subject Classification ID

Cites Work

• The pricing of options and corporate liabilities
• European Option Pricing with Transaction Costs

Cited In (18)

• High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost
• A new computational tool for analysing dynamic hedging under transaction costs
• On the numerical aspects of optimal option hedging with transaction costs
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• Utility-indifference pricing of European options with proportional transaction costs
• PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS
• Hedge and speculate: replicating option payoffs with limit and market orders
• On reset option pricing in binomial market with both fixed and proportional transaction costs
• Optimal exercise of American puts with transaction costs under utility maximization
• Title not available (Why is that?)
• THE BEST HEDGING STRATEGY IN THE PRESENCE OF TRANSACTION COSTS
• European option pricing and hedging with both fixed and proportional transaction costs
• Hedging barrier options in GARCH models with transaction costs
• A numerical study of the utility-indifference approach for pricing American options
• A note on utility indifference pricing
• EUROPEAN OPTION PRICING WITH GENERAL TRANSACTION COSTS AND SHORT-SELLING CONSTRAINTS
• Option hedging theory under transaction costs
• Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs

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