A TRANSACTION COST CONVERGENCE RESULT FOR GENERAL HEDGING STRATEGIES

DOI10.1081/STM-100002276zbMath0996.91068MaRDI QIDQ2746224

Laurent Gauthier

Publication date: 6 November 2002

Published in: Stochastic Models (Search for Journal in Brave)

zbMATH Keywords

hedgingpartial differential equationdiffusion processestransaction costs

Mathematics Subject Classification ID

Financial applications of other theories (91G80) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

• Unnamed Item
• On Leland's strategy of option pricing with transactions costs
• Portfolio optimisation with strictly positive transaction costs and impulse control
• MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
• An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
• European Option Pricing with Transaction Costs
• Stochastic equity volatility related to the leverage effect

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