Optimal hedging in an extended binomial market under transaction costs

DOI10.1080/14697688.2015.1039225zbMath1468.91169OpenAlexW1669837319MaRDI QIDQ5001170

Norman Josephy, Victoria Steblovskaya, Lucia Kimball

Publication date: 16 July 2021

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

Full work available at URL: https://doi.org/10.1080/14697688.2015.1039225

zbMATH Keywords

proportional transaction costsextended binomial modelnon-self-financing hedgingoptimal expected accumulated residual

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

ON THE NUMERICAL ASPECTS OF OPTIMAL OPTION HEDGING WITH TRANSACTION COSTS

Cites Work

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