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Risk measure pricing and hedging in the presence of transaction costs

✍ Scribed by Ju Hong Kim

Publisher: Springer-Verlag
Year: 2007
Tongue: English
Weight: 207 KB
Volume: 23
Category: Article
ISSN: 1598-5865
DOI: 10.1007/bf02831976

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## SUMMARY We study a single risky financial asset model subject to price impact and transaction cost over an infinite horizon. An investor needs to execute a long position in the asset, affecting the price of the asset and possibly incurring a fixed transaction cost. The objective is to maximize t