Risk measure pricing and hedging in the presence of transaction costs

DOI10.1007/BF02831976MaRDI QIDQ874350zbMATH OpenOpenAlexFDO

Authors Ju Hong Kim

Publication date 5 April 2007

Published in Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02831976

zbMATH Keywords

option pricingtransaction costsincomplete marketsutility indifference pricequasi left-continuousrisk convex measure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Generalizations of martingales (60G48) Microeconomic theory (price theory and economic markets) (91B24)

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• Risk minimization in the model with transaction costs
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• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• Mean-variance hedging under transaction costs

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Cited in

(10)

• Risk measures beyond frictionless markets
• Quantile hedging on markets with proportional transaction costs
• Buy and Hold Golden Strategies in Financial Markets with Frictions and Depth Constraints
• Exponential utility of indifference prices and hedging strategies with transaction costs
• CONDITIONAL-MEAN HEDGING UNDER TRANSACTION COSTS IN GAUSSIAN MODELS
• Risk arbitrage and hedging to acceptability under transaction costs
• Pricing and hedging in the presence of extraneous risks
• Risk measure pricing and hedging in incomplete markets
• Hedging in the CRR model under concave transaction costs
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹

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