Limit theorems for partial hedging under transaction costs (Q2875729)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Limit theorems for partial hedging under transaction costs |
scientific article; zbMATH DE number 6328578
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Limit theorems for partial hedging under transaction costs |
scientific article; zbMATH DE number 6328578 |
Statements
11 August 2014
0 references
American options
0 references
limit theorems
0 references
shortfall risk
0 references
transaction costs
0 references
0 references
Limit theorems for partial hedging under transaction costs (English)
0 references
The author considers a Black and Scholes like model and studies the problem of minimizing the shortfall risk of a path dependent claim in the presence of proportional transaction costs. The shortfall is defined as the maximal (with respect to stopping times) expected excess of the given contingent claim relatively to the value at liquidation of a given portfolio. The author shows that the minimal expected shortfall can be attained (Theorem 2.1) and that such minimum value can be approximated arbitrarily well by taking a sequence of binomial models (Theorem 2.2).
0 references
