𝔖 Bobbio Scriptorium
✦   LIBER   ✦

LIMIT THEOREMS FOR PARTIAL HEDGING UNDER TRANSACTION COSTS

✍ Scribed by Yan Dolinsky

Book ID
115226877
Publisher
John Wiley and Sons
Year
2012
Tongue
English
Weight
744 KB
Volume
24
Category
Article
ISSN
0960-1627

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Hedging options under transaction costs
Hedging options under transaction costs and stochastic volatility
✍ Jacek Gondzio; Roy Kouwenberg; Ton Vorst πŸ“‚ Article πŸ“… 2003 πŸ› Elsevier Science 🌐 English βš– 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 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