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. …

We introduce a new criterion to perform hedging of contingent claims in incomplete markets. Our approach is close to … give an application of our hedging method in the stochastic volatility case as well as in the jump diffusion case …

This paper studies the pricing, timing and hedging of an American call option written on a non-tradable asset whose …

We propose a flexible framework for hedging a contingent claim by holding static positions in vanilla European calls …, puts, bonds, and forwards. A model-free expression is derived for the optimal static hedging strategy that minimizes the … expected squared hedging error subject to a cost constraint. The optimal hedge involves computing a number of expectations that …