Hedging Under an Expected Loss Constraint with Small Transaction Costs

被引：6

作者：

Bouchard, Bruno ^{[1
,2
]}

Moreau, Ludovic ^{[3
]}

Soner, H. Mete ^{[3
,4
]}

机构：

[1] Univ Paris 09, CEREMADE, Paris, France

[2] ENSAE, CREST, F-92240 Malakoff, France

[3] Swiss Fed Inst Technol, Dept Math, Zurich, Switzerland

[4] Swiss Finance Inst, Zurich, Switzerland

来源：

SIAM JOURNAL ON FINANCIAL MATHEMATICS | 2016年 / 7卷 / 01期

基金：

瑞士国家科学基金会;

关键词：

expected loss constraint; hedging; transaction cost; asymptotic expansion; STOCHASTIC TARGET PROBLEMS; PARTIAL-DIFFERENTIAL-EQUATIONS; ASYMPTOTIC ANALYSIS; OPTIMAL INVESTMENT; UTILITY MAXIMIZATION; PORTFOLIO SELECTION; VISCOSITY SOLUTIONS; SUPER-REPLICATION; CURRENCY MARKETS; DISCRETE-TIME;

D O I：

10.1137/15M1006787

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small transaction costs is used to obtain a tractable model. A general expansion theory is developed using the dynamic programming approach. Explicit formulae are obtained in the special cases of exponential and power utility functions. As a corollary, we retrieve the asymptotics for the exponential utility indifference price.

引用

页码：508 / 551

页数：44

共 50 条

[31] Hedging under transaction costs in currency markets: A continuous-time model
Kabanov, YM
Last, G
MATHEMATICAL FINANCE, 2002, 12 (01) : 63 - 70
[32] Frequent hedging under transaction costs and a nonlinear Fokker-Planck PDE
Grandits, P
SIAM JOURNAL ON APPLIED MATHEMATICS, 2001, 62 (02) : 541 - 562
[33] Backward hedging for American options with transaction costs
Goudenege, Ludovic
Molent, Andrea
Zanette, Antonino
DECISIONS IN ECONOMICS AND FINANCE, 2024,
[34] Hedging under transaction costs in currency markets: A discrete-time model
Delbaen, F
Kabanov, YM
Valkeila, E
MATHEMATICAL FINANCE, 2002, 12 (01) : 45 - 61
[35] Hedging American contingent claims with constrained portfolios under proportional transaction costs
Wang, B
Meng, QX
CHAOS SOLITONS & FRACTALS, 2005, 23 (04) : 1153 - 1162
[36] THE BEST HEDGING STRATEGY IN THE PRESENCE OF TRANSACTION COSTS
Zakamouline, Valeri
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2009, 12 (06) : 833 - 860
[37] ON THE POSSIBILITY OF HEDGING OPTIONS IN THE PRESENCE OF TRANSACTION COSTS
Levental, Shlomo
Skorohod, Anatolii V.
ANNALS OF APPLIED PROBABILITY, 1997, 7 (02): : 410 - 443
[38] HEDGING OF GAME OPTIONS WITH THE PRESENCE OF TRANSACTION COSTS
Dolinsky, Yan
ANNALS OF APPLIED PROBABILITY, 2013, 23 (06): : 2212 - 2237
[39] Option hedging for small investors under liquidity costs
Umut Çetin
H. Mete Soner
Nizar Touzi
Finance and Stochastics, 2010, 14 : 317 - 341
[40] Option hedging for small investors under liquidity costs
Cetin, Umut
Soner, H. Mete
Touzi, Nizar
FINANCE AND STOCHASTICS, 2010, 14 (03) : 317 - 341

← 1 2 3 4 5 →