existence and uniqueness of this equation. Simulations are used to compare the hedging strategies in our model to standard Black …

accounts for the feedback effect from the Black-Scholes dynamic hedging strategies on the price of the asset, and from there … the asset following a Black-Scholes type dynamic hedging strategy, which is not known a priori, in order to insure against … asset which depends on the hedging strategy of the programme traders. Then following a Black-Scholes argument, we derive …

This paper highlights a framework for analysing dynamic hedging strategies under transaction costs. First, self … hedging error on a lattice under portfolio affine dynamics is then presented. In a number of circumstances, this provides an … efficient approach to analysing the performance of hedging strategies under transaction costs through moments. As an example …

hedging times and ratios which allow one to minimize the variance of replication error is considered. For given N rebalancing …, the discrete optimal hedging strategy is identified for this criterion. The problem (PN) is then transformed into a … criterion is stated for the problem (PN). The same study is made when more realistic restrictions are imposed on the hedging …

In this paper we analyze in what way the demand generated by dynamic hedging strategies affects the equilibrium prices … hedging. It turns out that market volatility increases and becomes price-dependent. The strength of the effects depend not … discuss in what sense hedging strategies calculated under the assumption of constant volatility are still appropriate, even if …

start by briefly recalling the standard theory for pricing and hedging derivatives in complete frictionless markets and the …