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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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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
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Superhedging in illiquid markets
Pennanen, Teemu - In: Mathematical finance : an international journal of … 21 (2011) 3, pp. 519-540
Persistent link: https://www.econbiz.de/10009156016
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Approximate hedging for nonlinear transaction costs on the volume of traded assets
Elie, Romuald; Lépinette, Emmanuel - In: Finance and stochastics 19 (2015) 3, pp. 541-581
Persistent link: https://www.econbiz.de/10011418291
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Robust hedging with proportional transaction costs
Dolinsky, Yan; Soner, Halil Mete - 2013
Duality for robust hedging with proportional transaction costs of path dependent European options is obtained in a …. The main theorem is duality between hedging and a Monge-Kantorovich type optimization problem. In this dual transport …
Persistent link: https://www.econbiz.de/10009750655
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Performance evaluation of optimized portfolio insurance strategies
Zieling, Daniel; Mahayni, Antje; Balder, Sven - In: Journal of banking & finance 43 (2014), pp. 212-225
Persistent link: https://www.econbiz.de/10010410003
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On the choice between two delta-hedging strategies
Hong, Liang - In: Decisions in economics and finance : DEF ; a journal of … 39 (2016) 1, pp. 69-80
Persistent link: https://www.econbiz.de/10011451654
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Evaluation of realized multi-power variations in minimum variance hedging
Hung, Jui-Cheng - In: Economic modelling 51 (2015), pp. 672-679
Persistent link: https://www.econbiz.de/10011476357
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Implied transaction costs in agricultural futures markets
Frank, Julieta - 2008
Persistent link: https://www.econbiz.de/10011389519
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European option pricing and hedging with both fixed and proportional transaction costs
Zakamouline, Valeri I. - In: Journal of economic dynamics & control 30 (2006) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10003251094