THE BEST HEDGING STRATEGY IN THE PRESENCE OF TRANSACTION COSTS

DOI10.1142/S0219024909005488zbMath1186.91223MaRDI QIDQ3648637

Valeri I. Zakamouline

Publication date: 27 November 2009

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

zbMATH Keywords

optimizationsimulationstransaction costsoption hedgingrisk-return tradeoff

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Move-based hedging of variable annuities: a semi-analytic approach ⋮ Hedging at-the-money digital options near maturity

Cites Work

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• Portfolio Selection with Transaction Costs

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