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Option hedging for small investors under liquidity costs

✍ Scribed by Umut Çetin; H. Mete Soner; Nizar Touzi

Book ID
106235774
Publisher
Springer-Verlag
Year
2009
Tongue
English
Weight
569 KB
Volume
14
Category
Article
ISSN
0949-2984

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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

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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