ON THE NUMERICAL ASPECTS OF OPTIMAL OPTION HEDGING WITH TRANSACTION COSTS

DOI10.1142/S0219024917500029zbMath1396.91740OpenAlexW2577985338MaRDI QIDQ2970317

Lucia Kimball, Norman Josephy, Victoria Steblovskaya

Publication date: 30 March 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024917500029

zbMATH Keywords

proportional transaction costsextended binomial modelnon-self-financing hedging

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• A time-series approach to non-self-financing hedging in a discrete-time incomplete market
• Hedging of the European option in discrete time under proportional transaction costs
• Optimality of replication in the CRR model with transaction costs
• Optimal hedging in an extended binomial market under transaction costs
• An algorithmic approach to non-self-financing hedging in a discrete-time incomplete market
• Stochastic finance. An introduction in discrete time
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