Hedging of the European option in discrete time under proportional transaction costs
type: Item
instance of: scholarly article
title: Hedging of the European option in discrete time under proportional transaction costs
zbMATH Open document ID: 1099.91064
author: Marek Kociński
published in: Mathematical Methods of Operations Research
publication date: 2005-02-11T00:00:00Z
review text: The author studies a slightly more general model of stock price movements than that of Cox-Ross-Rubinstein (CRR). After having proved several technical lemmas, he succeeds to demonstrate that for a class of options including a standard European call option, the set of portfolios which allow to hedge the option is the same as in the CRR model. However, not all notions used in the paper are explained, including even the concept of hedging of an option, so that some potential readers may feel discouraged to go further into details and may quit reading of this paper.
reviewed by: Leszek S. Zaremba
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91B24
Mathematics Subject Classification ID: 91B70
zbMATH DE Number: 2133467
zbMATH Keywords: self-financing strategy
MaRDI profile type: Publication
full work available at URL: s001860300323
OpenAlex ID: W2163739376
DOI: 10.1007/S001860300323
Recommended article: Hedging of the European option in discrete time under transaction costs depending on time
Recommended article: European option pricing and hedging with both fixed and proportional transaction costs
Recommended article: On the hedging of American options in discrete time markets with proportional transaction costs
Recommended article: Q4218382
Recommended article: Pricing and hedging European options with discrete-time coherent risk
Recommended article: Hedging in discrete time under transaction costs and continuous-time limit
Recommended article: Pricing of proactive hedging European option with dynamic discrete position strategy
Recommended article: Utility-indifference pricing of European options with proportional transaction costs
Recommended article: Discrete hedging in the mean/variance model for European call options
description: scientific article; zbMATH DE number 2133467