Risk preference, option pricing and portfolio hedging with proportional transaction costs

DOI10.1016/j.chaos.2016.12.010zbMath1375.91230OpenAlexW2564742668MaRDI QIDQ1674295

Le Zhuang, Zhe Li, Xiao-Tian Wang

Publication date: 2 November 2017

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2016.12.010

zbMATH Keywords

scalingrisk preferenceLeland's strategyhedging performanceimplied-volatility-frownoption pricing with transaction costs

Mathematics Subject Classification ID

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

Related Items (4)

Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion ⋮ Option pricing under mixed hedging strategy in time-changed mixed fractional Brownian model ⋮ A computational method to price with transaction costs under the nonlinear Black-Scholes model ⋮ Unnamed Item

Cites Work

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• The Framing of Decisions and the Psychology of Choice
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• MODIFIED LELAND’S STRATEGY FOR A CONSTANT TRANSACTION COSTS RATE
• Introduction to Econophysics

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