In this paper, we consider the problem of hedging contingent claims on a stock under transaction costs and stochastic volatility. Extensive research has clearly demonstrated that the volatility of most stocks is not constant over time. As small changes of the volatility can have a major impact on th
โฆ LIBER โฆ
Hedging and liquidation under transaction costs in currency markets
โ Scribed by Y.M. Kabanov
- Publisher
- Springer-Verlag
- Year
- 1999
- Tongue
- English
- Weight
- 95 KB
- Volume
- 3
- Category
- Article
- ISSN
- 0949-2984
No coin nor oath required. For personal study only.
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## Abstract Using detailed data on the currency transactions of institutional fund managers, this paper shows that funds that experience high returns on their currency holdings also incur lower transaction costs on their currency trades. This finding holds both in the cross section, i.e. funds that