Discrete-time delta hedging and the Black-Scholes model with transaction costs

DOI10.1007/s00186-006-0086-0zbMath1132.90013OpenAlexW1979193912MaRDI QIDQ857949

Miklauž Mastinšek

Publication date: 5 January 2007

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-006-0086-0

zbMATH Keywords

transaction costsdelta hedging

Mathematics Subject Classification ID

Combinatorial optimization (90C27)

Related Items (7)

Option pricing and portfolio hedging under the mixed hedging strategy ⋮ Correlated continuous time random walk and option pricing ⋮ Risk preference, option pricing and portfolio hedging with proportional transaction costs ⋮ Subdiffusive fractional Black–Scholes model for pricing currency options under transaction costs ⋮ Optimal Hedging of a Perpetual American Put with a Single Trade ⋮ Option pricing under the subordinated market models ⋮ Option pricing under residual risk and imperfect hedging

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Realism and practicality of transaction cost approaches in continuous-time portfolio optimisation: the scope of the Morton-Pliska approach.
• Hedging of the European option in discrete time under proportional transaction costs
• A Portfolio Approach to Risk Reduction in Discretely Rebalanced Option Hedges

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