An Option to Reduce Transaction Costs

DOI10.1137/100798053zbMath1236.91127OpenAlexW2087917905MaRDI QIDQ5388674

Daniel N. Ostrov, Jonathan B. Goodman

Publication date: 19 April 2012

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/161c5b0e221dbafc417e319e903e66c0264e0d70

zbMATH Keywords

asymptoticstransaction costsMerton strategyoptimal rebalancing

Mathematics Subject Classification ID

Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Financial applications of other theories (91G80) Portfolio theory (91G10) Optimality conditions for free problems in two or more independent variables (49K10)

Related Items (3)

OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS ⋮ Model uncertainty, recalibration, and the emergence of delta-vega hedging ⋮ Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment

This page was built for publication: An Option to Reduce Transaction Costs