Hedging Problem for Asian Call Options with Transaction Costs

DOI10.1137/s0040585x97t991374zbMath1520.91406MaRDI QIDQ6112446

No author found.

Publication date: 7 August 2023

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

option pricingBlack-Scholes modelAsian optionshedging problemLeland strategyasymptotic hedgingtransaction cost market

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• In the insurance business risky investments are dangerous: the case of negative risk sums
• On the duality principle in option pricing: semimartingale setting
• Markets with transaction costs. Mathematical theory.
• Limit theorem for Leland's strategy
• On Asian option pricing for NIG Lévy processes
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs
• Pricing Asian options in a semimartingale model
• Real Analysis and Probability
• MODIFIED LELAND’S STRATEGY FOR A CONSTANT TRANSACTION COSTS RATE
• CALCULATION OF ASIAN OPTIONS FOR THE BLACK–SCHOLES MODEL
• THE HEDGING STRATEGY FOR ASIAN OPTION
• Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps
• APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS
• The Representation of Functionals of Brownian Motion by Stochastic Integrals
• Arbitrage Theory in Continuous Time
• Options on a traded account: Vacation calls, vacation puts and passport options

This page was built for publication: Hedging Problem for Asian Call Options with Transaction Costs