Hedging in the CRR model under concave transaction costs

• Autorzy: Kociński M.
• Języki publikacji: EN

Abstrakty

EN

In the paper hedging a contingent claim in the Cox-Ross-Rubinstein model under concave transaction costs is studied. Sufficient conditions for the optimality of the replicating strategy for the European option are given. The problem of describing of portfolios which allow, starting from a given moment to hedge a contingent claim is considered for both the European and American options.

Słowa kluczowe

EN

European option; American option; hedging

• Wydawca: De Gruyter
• Czasopismo: Demonstratio Mathematica
• Rocznik: 2001
• Tom: Vol. 34, nr 2
• Strony: 497--512
• Opis fizyczny: Bibliogr. 4 poz.

Twórcy

autor

Kociński M.

• Department of Mathematical Statistics and Experimentation Warsaw Agricultural University ul. Rakowiecka 26/30 02-528 Warszawa, Poland

Bibliografia

• [1] M. Kopciński, Optimality of the replicating strategy for American options, Appi. Math. 26,1 (1999), 93-105.
• [2] M. Rutkowski, Optimality of replication in the CRR model with transaction costs, Appi. Math. 25, 1 (1998), 29-53.
• [3] Ł. Stettner, Option pricing in the CRR model with proportional transaction costs: A cone transformation approach, Appi. Math. 24, 4 (1997), 475-514.
• [4] Ł. Stettner, Option pricing in discrete time incomplete market models, Math. Finance 10/2 (2000), 305-321.