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Approximate hedging in a local volatility model with proportional transaction costs

Lépinette, Emmanuel; Tran, Tuan - In: Applied mathematical finance 21 (2014) 3/4, pp. 313-341

Persistent link: https://www.econbiz.de/10010499677

Essays on market frictions and model misspecification in asset pricing

Seeger, Norman - 2009

Persistent link: https://www.econbiz.de/10003863665

Quantile hedging on equity-linked life insurance contracts with transaction costs

Melʹnikov, Aleksandr V.; Tong, Shuo - In: Insurance / Mathematics & economics 58 (2014), pp. 77-88

Persistent link: https://www.econbiz.de/10010437626

An Endogenous Volatility Approach to Pricing and Hedging Call Options with Transaction Costs

MacLean, Leonard - 2009

Standard delta hedging fails to exactly replicate a European call option in the presence of transaction costs. We study … a pricing and hedging model similar to the delta hedging strategy with an endogenous volatility parameter for the … optimal hedging volatility is calculated using the criterion of minimizing the weighted upside and downside replication errors …

Persistent link: https://www.econbiz.de/10013155931

Game theoretic analysis of incomplete markets : emergence of probabilities, nonlinear and fractional Black-Scholes equations

Kolokolʹcov, Vassilij N. - In: Risk and decision analysis 4 (2013) 3, pp. 131-161

Persistent link: https://www.econbiz.de/10010190161

Volatility cones and volatility arbitrage strategies : empirical study based on SSE ETF option

Pan, Hong Yu Xin; Jun, Song - In: China finance review international 7 (2017) 2, pp. 203-227

Persistent link: https://www.econbiz.de/10011797786

An option theoretic approach to market efficiency

Bhattacharya, Rajeev R. - In: Annals of financial economics 14 (2019) 4, pp. 1-21

Persistent link: https://www.econbiz.de/10012226607

Optimal Investment with Transaction Costs and Stochastic Volatility Part II : Finite Horizon

Bichuch, Maxim - 2018

In this companion paper to “Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon”, "http://ssrn.com/abstract=2374150" http://ssrn.com/abstract=2374150, we give an accuracy proof for the finite time optimal investment and consumption problem under fast...

Persistent link: https://www.econbiz.de/10012936951

Pricing American call options using the Black-Scholes equation with a nonlinear volatility function

Grossinho, Maria do Rosário; Kord, Yaser; Ševčovič, … - In: The journal of computational finance 23 (2020) 4, pp. 93-113

Persistent link: https://www.econbiz.de/10012212488

A theoretical model of jump diffusion-mean reversion : constant proportion portfolio insurance strategy under the presence of transaction cost and stochastic floor

Chakrabarty, Anindya; Luo, Zongwei; Dubey, Rameshwar; … - In: Business process management journal 23 (2017) 3, pp. 537-554

Persistent link: https://www.econbiz.de/10011744467

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