Existence of variance-optimal hedging strategy in discrete time model with transaction costs

• Autorzy: Motoczyński M.
• Języki publikacji: EN

Abstrakty

EN

In the paper, a variance-optimal hedging of a contingent claim for a discrete time model with transaction costs is considered. Existence of an optimal hedging strategy is shown.

Słowa kluczowe

EN

contingent claim; option pricing; variance-optimal hedging

PL

badania operacyjne

• Wydawca: Instytut Matematyczny PAN
• Czasopismo: Bulletin of the Polish Academy of Sciences. Mathematics
• Rocznik: 1999
• Tom: Vol. 47, no 2
• Strony: 191--207
• Opis fizyczny: Bibliogr. 6 poz. ,

Twórcy

autor

Motoczyński M.

• Institute of Applied Mathematics and Mechanics, Warsaw University, Banacha 2, 02-097 Warszawa, Poland

Bibliografia

• [1] S. Levental, A. V. Skorochod, On the possibility of hedging options in the presence of transaction costs, Annals of Applied Prob., 7 (1997) 410-443.
• [2] J. Cvitanic, S. E. Schreve, H. M. Soner, There is no nontrivial portfolio for option pricing with transaction costs, The Annals of Applied Prob., 5 (1995) 327-355.
• [3] M. Schweizer, Hedging of options in a general semimartingate model, Diss., ETH Zurich, 8615 (1988).
• [4] M. Schweizer, Variance-optimal hedging in discrete time, Mathematics of Operation Research, 20 (1995) 1-32.
• [5] D. Lamberton, H. Pham, M. Schweizer, Local risk-minimization under transaction costs, to be published.
• [6] N. Dunford, J. T. Schwartz, Linear operators vol. I, Interscience Publishers, New York 1958.