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Options under Proportional Transaction Costs: An

✍ Scribed by Alet Roux; Krzysztof Tokarz; Tomasz Zastawniak


Publisher
Springer Netherlands
Year
2008
Tongue
English
Weight
548 KB
Volume
103
Category
Article
ISSN
0167-8019

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Hedging options under transaction costs
✍ 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