Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs

DOI10.1080/14697680600724809zbMath1134.91472OpenAlexW2025565143MaRDI QIDQ3437400

Valeri I. Zakamouline

Publication date: 9 May 2007

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

Full work available at URL: https://doi.org/10.1080/14697680600724809

zbMATH Keywords

approximation methodssimulationstransaction costsoption hedging

Mathematics Subject Classification ID

Related Items (6)

Robust option pricing ⋮ Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment ⋮ The play operator, the truncated variation and the generalisation of the Jordan decomposition ⋮ THE BEST HEDGING STRATEGY IN THE PRESENCE OF TRANSACTION COSTS ⋮ Minimizing CVaR in global dynamic hedging with transaction costs ⋮ An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs

Cites Work

• The Pricing of Options and Corporate Liabilities
• European option pricing and hedging with both fixed and proportional transaction costs
• Option pricing with transaction costs and a nonlinear Black-Scholes equation
• Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach
• Optimal delta-hedging under transactions costs
• Coherent Measures of Risk
• An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
• European Option Pricing with Transaction Costs
• Simulations of transaction costs and optimal rehedging

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