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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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Utility maximization with proportional transaction costs under model uncertainty
Deng, Shuoqing; Tan, Xiaolu; Yu, Xiang - In: Mathematics of operations research 45 (2020) 4, pp. 1210-1236
Persistent link: https://www.econbiz.de/10012319659
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Transaction risk, derivative assets, and equilibrium
Cao, H. Henry; Ye, Dongyan - In: The quarterly journal of finance 6 (2016) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10011452334
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How to hedge if the payment date is uncertain?
Korn, Olaf; Merz, Alexander - 2016 - [revised]
This paper is the first to study the hedging of price risk with uncertain payment dates, a frequent problem in practice …. It derives a variance-minimizing hedging strategy for two settings, the first employing linear contracts with different …
Persistent link: https://www.econbiz.de/10011506271
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Participating contingent premium options
Rajae, Aboulaich; Amina, Dchieche - In: Review of Pacific Basin financial markets and policies 20 (2017) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10011697145
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A verification model to capture option risk and hedging based on a modified underlying beta
Shen, Chuan-He; Liu, Yang - In: The journal of risk model validation 15 (2021) 1, pp. 49-68
Persistent link: https://www.econbiz.de/10014540158
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Deep equal risk pricing of financial derivatives with non-translation invariant risk measures
Carbonneau, Alexandre; Godin, Frédéric - In: Risks : open access journal 11 (2023) 8, pp. 1-27
applied to the conventional deep hedging training algorithm so as to enable obtaining a price through a single training run … for the two neural networks associated with the respective long and short hedging strategies. The accuracy of the neural …
Persistent link: https://www.econbiz.de/10014391590
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Hedging house price risk in the presence of lumpy transaction costs
Han, Lu - In: Journal of urban economics 64 (2008) 2, pp. 270-287
Persistent link: https://www.econbiz.de/10003813967
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Hedging Non-Tradable Risks with Transaction Costs and Price Impact
Cartea, Álvaro - 2020
A risk-averse agent hedges her exposure to a non-tradable risk factor U using a correlated traded asset S and accounts for the impact of her trades on both factors. The effect of the agent's trades on U is referred to as cross-impact. By solving the agent's stochastic control problem, we obtain...
Persistent link: https://www.econbiz.de/10012852522
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Risk arbitrage and hedging to acceptability under transaction costs
Lépinette, Emmanuel; Molčanov, Il'ja S. - In: Finance and stochastics 25 (2021) 1, pp. 101-132
Persistent link: https://www.econbiz.de/10012433516