Small transaction cost asymptotics and dynamic hedging

DOI10.1016/j.ejor.2004.08.049zbMath1163.91376OpenAlexW2009671763MaRDI QIDQ2464226

Claudio Albanese, Stathis Tompaidis

Publication date: 10 December 2007

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2004.08.049

zbMATH Keywords

transaction costsfinancerisk management

Mathematics Subject Classification ID

Related Items

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Cites Work

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• The Pricing of Options and Corporate Liabilities
• Optimal delta-hedging under transactions costs
• There is no nontrivial hedging portfolio for option pricing with transaction costs
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• European Option Pricing with Transaction Costs
• Portfolio Selection with Transaction Costs

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