Approximate hedging for nonlinear transaction costs on the volume of traded assets

DOI10.1007/s00780-015-0262-2zbMath1403.91337OpenAlexW2144036222MaRDI QIDQ2516769

Romuald Elie, Emmanuel Lépinette

Publication date: 4 August 2015

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-015-0262-2

zbMATH Keywords

Malliavin calculustransaction costsdelta hedgingLeland-Lott strategyorder book

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (2)

Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps ⋮ Super-replication with fixed transaction costs

Cites Work

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