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Hedging of game options with the presence of transaction costs

✍ Scribed by Dolinsky, Yan

Book ID
127275904
Publisher
Institute of Mathematical Statistics
Year
2013
Tongue
English
Weight
278 KB
Volume
23
Category
Article
ISSN
1050-5164

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πŸ“œ SIMILAR VOLUMES

Optimal partial hedging of options with
Optimal partial hedging of options with small transaction costs
✍ A. Elizabeth Whalley πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 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