LIMIT THEOREMS FOR PARTIAL HEDGING UNDER TRANSACTION COSTS

DOI10.1111/j.1467-9965.2012.00525.xzbMath1303.91172arXiv1004.1576OpenAlexW2096770317MaRDI QIDQ2875729

Yan Dolinsky

Publication date: 11 August 2014

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1004.1576

zbMATH Keywords

American optionstransaction costslimit theoremsshortfall risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (1)

Dynkin's games and Israeli options

Cites Work

• Unnamed Item
• Hedging of game options with the presence of transaction costs
• The efficient hedging problem for American options
• Binomial approximations of shortfall risk for game options
• Error estimates for binomial approximations of game options
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• A closed-form solution to the problem of super-replication under transaction costs
• On the possibility of hedging options in the presence of transaction costs
• The super-replication problem via probabilistic methods
• Risk minimization under transaction costs
• Optimal investment with transaction costs and without semimartingales
• There is no nontrivial hedging portfolio for option pricing with transaction costs
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• Partial Hedging under Transaction Costs
• Binomial Approximations for Barrier Options of Israeli Style
• Game options

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