𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Hedging of American options under transaction costs

✍ Scribed by D. De Vallière; E. Denis; Y. Kabanov

Publisher
Springer-Verlag
Year
2008
Tongue
English
Weight
331 KB
Volume
13
Category
Article
ISSN
0949-2984

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Hedging options under transaction costs
Hedging options under transaction costs and stochastic volatility
✍ Jacek Gondzio; Roy Kouwenberg; Ton Vorst 📂 Article 📅 2003 🏛 Elsevier Science 🌐 English ⚖ 214 KB

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

Optimal partial hedging of options with
Optimal partial hedging of options with small transaction costs
✍ A. Elizabeth Whalley 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 823 KB

## Abstract This study uses asymptotic analysis to derive optimal hedging strategies for option portfolios hedged using an imperfectly correlated hedging asset with small fixed and/or proportional transaction costs, obtaining explicit formulae in special cases. This is of use when it is impractical