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Mean–variance hedging under transaction costs

✍ Scribed by Eric Beutner

Publisher
Springer
Year
2006
Tongue
English
Weight
182 KB
Volume
65
Category
Article
ISSN
0340-9422

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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