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Essays on derivatives pricing in incomplete markets
Gerer, Johannes - 2016
Persistent link: https://www.econbiz.de/10012128861
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Hedging options including transaction costs in incomplete markets
Safarian, Mher M. - 2014
In this paper we study a hedging problem for European options taking into account the presence of transaction costs. In … martingale price process shows the existence of a risk minimizing hedging strategy. …
Persistent link: https://www.econbiz.de/10010344251
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Contingent claims analysis and life-cycle finance
Bodie, Zvi; Ruffino, Doriana; Treussard, Jonathan - 2008 - Rev.
This paper explores the application of contingent claims analysis (CCA) to two quot;hotquot; issues in life-cycle finance: (1) investing for retirement and (2) deciding when, if ever, to switch careers. Participants in individual retirement accounts do not have the time or the knowledge to make...
Persistent link: https://www.econbiz.de/10003888707
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Option replication with large transactions costs
Reiß, Ariane - 1997
In this paper we addressed the problem of determining the optimal replicating strategy for a European call option under differential transactions costs. We derived an upper boundary for the cost factor in a market where all Investors face the same factor. This upper boundary ensures the...
Persistent link: https://www.econbiz.de/10010405881
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Option pricing and replication with transaction costs and dividends
Perrakis, Stylianos; Lefoll, Jean - 1999
Persistent link: https://www.econbiz.de/10001641802
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Optimal hedging of options with small but arbitrary transaction cost structure
Whalley, A. E.; Wilmott, Paul - 1999
Persistent link: https://www.econbiz.de/10009582836
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Asset pricing and hedging in financial markets with transaction costs : an approach based on the von Neumann-Gale model
Dempster, Michael A. H. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003187224
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A New Approach to Pricing and Hedging Options with Transaction Costs
Chen, Ling - 2011
We begin with an overview of classical theories and empirical methods for option pricing and hedging without … transaction costs, and then with a brief review of developments in the corresponding theory when there are transaction costs. An … interesting feature of the optimal hedging strategy in the presence of transaction costs is that the investor should rebalance the …
Persistent link: https://www.econbiz.de/10013130467
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Non Quadratic Local Risk-Minimization for Hedging Contingent Claims in the Presence of Transaction Costs
Millot, Nicolas - 2011
Following up on the new criterion introduced in Abergel and Millot for hedging contingent claims in incomplete markets … settings. Finally we give an application of our hedging method in the stochastic volatility case as well as in the jump …
Persistent link: https://www.econbiz.de/10013122736
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Approximate Hedging of Contingent Claims Under Transaction Costs
Lepinette, Emmanuel - 2012
Kabanov provided a rigorous mathematical analysis and established that the hedging portfolio approximates this pay-off in the …
Persistent link: https://www.econbiz.de/10013107812