Optimality of replication in the CRR model with transaction costs
نویسندگان
چکیده
منابع مشابه
Portfolio Optimization under Transaction Costs in the Crr Model Portfolio Optimization under Transaction Costs in the Crr Model
In the CRR model we introduce a transaction cost structure which covers piecewise proportional, fixed and constant costs. For a general utility function we formulate the problem of maximizing the expected utility of terminal wealth as a Markov control problem. An existence result is given and optimal strategies can be described by solutions of the dynamic programming equation. For logarithmic u...
متن کاملPortfolio optimization under transaction costs in the CRR model
In the CRR model we introduce a transaction cost structure which covers piecewise proportional, fixed and constant costs. For a general utility function we formulate the problem of maximizing the expected utility of terminal wealth as a Markov control problem. An existence result is given and optimal strategies can be described by solutions of the dynamic programming equation. For logarithmic u...
متن کاملA super-replication theorem in Kabanov's model of transaction costs
We prove a general version of the super-replication theorem, which applies to Kabanov’s model of foreign exchange markets under proportional transaction costs. The market is described by a matrix-valued càdlàg bid-ask process (Πt)t∈[0,T ] evolving in continuous time. We propose a new definition of admissible portfolio processes as predictable (not necessarily right or left continuous) processes...
متن کاملOption pricing and replication with transaction costs and dividends
This paper derives optimal perfect hedging portfolios in the presence of transaction costs within the binomial model of stock returns, for a market maker that establishes bid and ask prices for American call options on stocks paying dividends prior to expiration. It is shown that, while the option holder's optimal exercise policy at the ex-dividend date varies according to the stock price, ther...
متن کاملContinuous-Time Markowitz's Model with Transaction Costs
A continuous-time Markowitz’s mean-variance portfolio selection problem is studied in a market with one stock, one bond, and proportional transaction costs. This is a singular stochastic control problem, inherently with a finite time horizon. Via a series of transformations, the problem is turned into a so-called double obstacle problem, a well studied problem in physics and partial differentia...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Applicationes Mathematicae
سال: 1998
ISSN: 1233-7234,1730-6280
DOI: 10.4064/am-25-1-29-53