Optimal trading strategy for European options with transaction costs.

DOI10.1016/S0001-8708(02)00035-XzbMath1127.91339OpenAlexW2056196328MaRDI QIDQ1399565

Alan F. Ho

Publication date: 30 July 2003

Published in: Advances in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0001-8708(02)00035-x

zbMATH Keywords

financial mathematics

Mathematics Subject Classification ID

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

Cites Work

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• On Leland's strategy of option pricing with transactions costs
• Optimal investment and consumption with transaction costs
• The writing price of a European contingent claim under proportional transaction costs
• On the possibility of hedging options in the presence of transaction costs
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• Optimal hedging of options with small but arbitrary transaction cost structure
• An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
• European Option Pricing with Transaction Costs
• Portfolio Selection with Transaction Costs

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