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Is the nonlinear hedge of options more effective? : evidence from the SSE 50 ETF options in China
Yu, Xiao-Jian; Wang, Zi-Ling; Xiao, Wei-Lin - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-9
Persistent link: https://www.econbiz.de/10012665985
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Limit theorems for partial hedging under transaction costs
Dolinsky, Yan - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 567-597
Persistent link: https://www.econbiz.de/10010486001
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On the numerical aspects of optimal option hedging with transaction costs
Josephy, Norman H.; Kimball, Lucia; Steblovskaya, Victoria - In: International journal of theoretical and applied finance 20 (2017) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011686780
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Optimal trading and tax option value of defaultable bonds with asymmetric capital gain taxes
Chen, Peter Huaiyu; Liu, Sheen X.; Wu, Chunchi - In: Advances in Pacific Basin business, economics, and finance 7 (2019), pp. 27-62
Persistent link: https://www.econbiz.de/10012582240
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Strategic asset valuation and higher stochastic moments : an adjusted black-scholes model
Milanesi, Gastón; Pesce, Gabriela; El Alabi, Emilio - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 95-106
Persistent link: https://www.econbiz.de/10011392906
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A renewal theoretic result in portfolio theory under transaction costs with multiple risky assets
Irle, Albrecht (contributor); Prelle, Claas (contributor) - 2008
We consider a portfolio optimization problem in a Black-Scholes model with n stocks, in which an investor faces both fixed and proportional transaction costs. The performance of an investment strategy is measured by the average return of the corresponding portfolio over an infinite time horizon....
Persistent link: https://www.econbiz.de/10003757574
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Mean square error for the Leland-Lott hedging strategy
Gamys, Moussa; Kabanov, Jurij M. - In: Recent advances in financial engineering : proceedings …, (pp. 1-25). 2009
Persistent link: https://www.econbiz.de/10003871153
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Mean square error for the Leland-Lott hedging strategy : convex pay-offs
Denis, Emmanuel; Kabanov, Jurij M. - In: Finance and stochastics 14 (2010) 4, pp. 625-667
Persistent link: https://www.econbiz.de/10008823687
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The least cost superreplicating portfolio for short puts and calls in the Boyle-Vorst model with transaction costs
Chen, Guan-yu; Palmer, Ken; Sheu, Yuan-chung - In: Advances in quantitative analysis of finance and … 5 (2007), pp. 1-22
Persistent link: https://www.econbiz.de/10003575266
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Conservative Delta hedging under transaction costs
Fukasawa, Masaaki - In: Recent advances in financial engineering 2011: …, (pp. 55-72). 2012
Persistent link: https://www.econbiz.de/10009573488