Option pricing under residual risk and imperfect hedging

DOI10.1016/J.JMAA.2014.01.060zbMath1308.91172OpenAlexW1984009353MaRDI QIDQ2338861

Xiao-Tian Wang, Xiang-Qian Liang, Ze-Min Zhou

Publication date: 27 March 2015

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2014.01.060

zbMATH Keywords

option pricingasymptotic approachscalingresidual riskimperfect hedging

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Discrete-time delta hedging and the Black-Scholes model with transaction costs
• Optimal delta-hedging under transactions costs
• Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
• Delta hedging strategies comparison
• The Framing of Decisions and the Psychology of Choice
• Scaling and universality in economics: empirical results and theoretical interpretation
• Introduction to Econophysics

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