Hedging of American options under transaction costs
نویسندگان
چکیده
منابع مشابه
Hedging of American options under transaction costs
We consider a continuous-time model of financial market with proportional transaction costs. Our result is a dual description of the set of initial endowments of self-financing portfolios super-replicating Americantype contingent claim. The latter is a right-continuous adapted vector process describing the number of assets to be delivered at the exercise date. We introduce a specific class of p...
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In this paper we consider the problem of hedging contingent claims on a stock under transaction costs and stochastic volatility. Extensive research has clearly demonstrated that the volatility of most stocks is not constant over time. As small changes of the volatility can have a major impact on the value of contingent claims, hedging strategies should try to eliminate this volatility risk. We ...
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One of the most successful approaches to option hedging with transaction costs is the utility based approach, pioneered by Hodges and Neuberger (1989). Judging against the best possible tradeoff between the risk and the costs of a hedging strategy, this approach seems to achieve excellent empirical performance. However, this approach has one major drawback that prevents the broad application of...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2008
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-008-0076-6