Optimal discrete hedging in Garman-Kohlhagen model with liquidity risk

DOI10.1007/978-3-319-18167-7_33MaRDI QIDQ5357776zbMATH OpenOpenAlexFDO

Authors

Publication date 12 September 2017

Published in Advances in Intelligent Systems and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-18167-7_33

zbMATH Keywords

delta hedgingdiscrete timeGarman-Kohlhagen modelliquidity cost

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• Discrete hedging with liquidity risk
• Finite difference methods in financial engineering. A partial differential approach. With CD-ROM
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• Hedging options for a large investor and forward-backward SDE's
• scientific article; zbMATH DE number 3126031 (Why is no real title available?)
• scientific article; zbMATH DE number 3161527 (Why is no real title available?)
• Liquidity risk and arbitrage pricing theory
• Market volatility and feedback effects from dynamic hedging
• Perfect option hedging for a large trader
• Stochastic calculus for finance. I: The binomial asset pricing model.
• Stochastic calculus for finance. II: Continuous-time models.
• The liquidity discount.

Cited in

(3)

• The optimal rehedging interval for the options portfolio within the RAPM, taking into account transaction costs and liquidity costs
• Asymptotically efficient discrete hedging
• Discrete hedging with liquidity risk

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