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Optimal Portfolio Hedging with Nonlinear Derivatives and Transaction Costs

โœ Scribed by Jussi Keppo; Samu Peura

Book ID
110265682
Publisher
Springer US
Year
1999
Tongue
English
Weight
188 KB
Volume
13
Category
Article
ISSN
1572-9974

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## 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