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ArticleSmall transaction cost asymptotics and dynamic hedging

Claudio Albanese2006

Article2006

Small transaction cost asymptotics and dynamic hedging

Claudio Albanese · Stathis Tompaidis

17 citations·0/0 files stored·European Journal of Operational Research

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1990Portfolio Selection with Transaction Costs 1985Option Pricing and Replication with Transactions Costs 1989Optimal replication of contingent claims under transaction costs 2000Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets 2000Gain, Loss, and Asset Pricing

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1997Optimal delta-hedging under transactions costsarticle · 13 shared references 2010An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costsarticle · 13 shared references 1999Utility based option pricing with proportional transaction costs and diversification problems: an interior-point optimization approacharticle · 12 shared references 2002Utility based option evaluation with proportional transaction costsarticle · 12 shared references 1996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12article · 11 shared references 2001Pricing and hedging in incomplete marketsarticle · 11 shared references

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Year2006

Typearticle

Published2006-12-05

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations17

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.ejor.2004.08.049

openalex_workW2009671763

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