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 … problem the optimization is over all the probability measures which satisfy an approximate martingale condition related to …

) method. Detailed here are (1) the option hedging strategy and its costs; (2) irreducible hedging errors associated with … realistically fat-tailed & asymmetric return distributions; (3) impact of transaction costs on hedging costs and hedge …-performance; (4) impact of conditioning hedging strategy on realized volatility. The asset returns are addressed by the General Auto …

We solve the problems of mean-variance hedging (MVH) and mean-variance portfolio selection (MVPS) under restricted …-information filtration and assume that S is a time-dependent affine transformation of a square-integrable martingale. This class of processes …

allows us to rewrite the hedging portfolio explicitly in terms of the Malliavin derivative of the discounted payoff. We … illustrate this new result with two applications. Firstly, we obtain a closed-form expression for the hedging portfolio of a …

and one stock, to a market with a finite number n>1 of stocks. -- Portfolio theory ; transaction costs ; Harris recurrence … ; renewal theory …

In frictionless markets, the absence of arbitrage opportunities is equivalent to the existence of a martingale process … as the martingale measure in the frictionless case. This is a martingale evolving in the solvency cone. The solvency cone …. The existence of such processes is assumed in the formulation of super–hedging prices characterization of European and …