The optimal rehedging interval for the options portfolio within the RAPM, taking into account transaction costs and liquidity costs

DOI10.26516/1997-7670.2020.31.3zbMath1433.91174OpenAlexW3011611209MaRDI QIDQ2307920

Mikhail M. Dyshaev, Vladimir Evgenyevich Fedorov

Publication date: 25 March 2020

Published in: Izvestiya Irkutskogo Gosudarstvennogo Universiteta. Seriya Matematika (Search for Journal in Brave)

Full work available at URL: http://mathizv.isu.ru/en/article/file?id=1327

zbMATH Keywords

transaction costsdelta hedgingliquidity costnonlinear option pricing modelRAPMrehedging interval

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

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• Portfolio Selection with Transaction Costs

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