OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS. (6th June 2013)
- Record Type:
- Journal Article
- Title:
- OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS. (6th June 2013)
- Main Title:
- OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS
- Authors:
- Kallsen, Jan
Muhle‐Karbe, Johannes - Abstract:
- <abstract abstract-type="main"> <title>Abstract</title> <p>An investor with constant absolute risk aversion trades a risky asset with general Itô‐dynamics, in the presence of small proportional transaction costs. In this setting, we formally derive a leading‐order optimal trading policy and the associated welfare, expressed in terms of the local dynamics of the frictionless optimizer. By applying these results in the presence of a random endowment, we obtain asymptotic formulas for utility indifference prices and hedging strategies in the presence of small transaction costs.</p> </abstract>
- Is Part Of:
- Mathematical finance. Volume 25:Number 4(2015:Oct.)
- Journal:
- Mathematical finance
- Issue:
- Volume 25:Number 4(2015:Oct.)
- Issue Display:
- Volume 25, Issue 4 (2015)
- Year:
- 2015
- Volume:
- 25
- Issue:
- 4
- Issue Sort Value:
- 2015-0025-0004-0000
- Page Start:
- 702
- Page End:
- 723
- Publication Date:
- 2013-06-06
- Subjects:
- Business mathematics -- Periodicals
332 - Journal URLs:
- http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-9965 ↗
http://www.blackwellpublishers.co.uk/online ↗
http://onlinelibrary.wiley.com/ ↗ - DOI:
- 10.1111/mafi.12035 ↗
- Languages:
- English
- ISSNs:
- 0960-1627
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 5401.975000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 3464.xml