Risk minimization for game options in markets imposing minimal transaction costs

DOI10.1017/apr.2016.34zbMath1380.91129arXiv1408.3774OpenAlexW2963270140MaRDI QIDQ2830887

Yan Dolinsky, Yuri Kifer

Publication date: 1 November 2016

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.3774

zbMATH Keywords

transaction costrisk minimizationhedging with frictiongame option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Strong limit theorems (60F15) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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