Hedging Under an Expected Loss Constraint with Small Transaction Costs

DOI10.1137/15M1006787zbMath1345.60030arXiv1309.4916WikidataQ57635844 ScholiaQ57635844MaRDI QIDQ3188153

Ludovic Moreau, Bruno Bouchard, Halil Mete Soner

Publication date: 17 August 2016

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.4916

zbMATH Keywords

dynamic programmingasymptotic expansionhedgingtransaction costsexpected loss constraint

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Financial applications of other theories (91G80) Limit theorems in probability theory (60F99)

Related Items (5)

Simple bounds for utility maximization with small transaction costs ⋮ Time-Inconsistent Portfolio Investment Problems ⋮ Option replication with transaction cost under Knightian uncertainty ⋮ Deep hedging ⋮ A constructive method for convex solutions of a class of nonlinear Black-Scholes equations

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