Risk minimization in the model with transaction costs

DOI10.4064/AM30-2-5zbMath1141.91019OpenAlexW2043301495MaRDI QIDQ4425016

Michał Motoczyński

Publication date: 9 September 2003

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/am30-2-5

zbMATH Keywords

trading strategyoption pricingquadratic riskclosednessvariance-optimal hedgingcontingent claimpredictability conditionattainable gainsgain functional

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22) Auctions, bargaining, bidding and selling, and other market models (91B26) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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