Local Risk-Minimization Under Transaction Costs

DOI10.1287/moor.23.3.585zbMath0994.91024OpenAlexW2143953858MaRDI QIDQ2757552

Huyên Pham, Damien Lamberton, Martin Schweizer

Publication date: 26 November 2001

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/4369

zbMATH Keywords

hedgingoption pricingtransaction costslocally risk-minimizing actions

Mathematics Subject Classification ID

Related Items (12)

Option pricing with linear market impact and nonlinear Black-Scholes equations ⋮ LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS ⋮ Risk measure pricing and hedging in the presence of transaction costs ⋮ On the existence of shadow prices ⋮ Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts ⋮ Tax- and expense-modified risk-minimization for insurance payment processes ⋮ Mean-variance hedging under transaction costs ⋮ Options under proportional transaction costs: An algorithmic approach to pricing and hedging ⋮ Option pricing with transaction costs using a Markov chain approximation ⋮ Existence of shadow prices in finite probability spaces ⋮ On using shadow prices in portfolio optimization with transaction costs ⋮ Lattice-based hedging schemes under GARCH models

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