A further study of the choice between two hedging strategies -- the continuous case

DOI10.1007/S11009-017-9604-1zbMath1426.91248OpenAlexW3121406632MaRDI QIDQ1739336

Liang Hong

Publication date: 26 April 2019

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-017-9604-1

zbMATH Keywords

Brownian motion with driftfirst hitting timecost of hedgingfixed transaction costnon-fixed transaction costcontinuous-time Markov process

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Portfolio theory (91G10)

Cites Work

• On the choice between two delta-hedging strategies
• Stochastic calculus for finance. II: Continuous-time models.
• Hedging guarantees in variable annuities under both equity and interest rate risks
• GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
• First-passage time of Markov processes to moving barriers
• The First Passage Problem for a Continuous Markov Process
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: A further study of the choice between two hedging strategies -- the continuous case