Simulations of transaction costs and optimal rehedging

DOI10.1080/13504869400000003zbMath0832.90006OpenAlexW2073238979MaRDI QIDQ4845149

Benjamin Mohamed

Publication date: 5 March 1996

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://www.tandf.co.uk/journals/routledge/1350486X.html

zbMATH Keywords

Monte Carlo simulationsproportional transaction costshedging optionsBlack-Scholes environment

Mathematics Subject Classification ID

Related Items (13)

A numerical study of the utility-indifference approach for pricing American options ⋮ PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS ⋮ EUROPEAN OPTION PRICING WITH GENERAL TRANSACTION COSTS AND SHORT-SELLING CONSTRAINTS ⋮ Optimal exercise of American puts with transaction costs under utility maximization ⋮ European option pricing and hedging with both fixed and proportional transaction costs ⋮ On reset option pricing in binomial market with both fixed and proportional transaction costs ⋮ Utility-indifference pricing of European options with proportional transaction costs ⋮ Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders ⋮ High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost ⋮ A NOTE ON UTILITY INDIFFERENCE PRICING ⋮ THE BEST HEDGING STRATEGY IN THE PRESENCE OF TRANSACTION COSTS ⋮ Option hedging theory under transaction costs ⋮ Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs

Cites Work

• The Pricing of Options and Corporate Liabilities
• European Option Pricing with Transaction Costs

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