A new computational tool for analysing dynamic hedging under transaction costs

DOI10.1080/14697680701402941zbMath1140.91409OpenAlexW1986849498MaRDI QIDQ3518380

James A. Primbs, Yuji Yamada

Publication date: 7 August 2008

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

Full work available at URL: https://doi.org/10.1080/14697680701402941

zbMATH Keywords

asset pricingBlack-Scholes modelarbitrage pricingcontrol of stochastic systemsderivatives analysisderivatives hedgingcontrol and optimizationapplied mathematical finance

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items

Distribution of Discrete Time Delta-Hedging Error via a Recursive Relation ⋮ Arbitrage-free interval and dynamic hedging in an illiquid market ⋮ The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost ⋮ MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE ⋮ An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs

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