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Option Pricing And Hedging With Small Transaction Costs

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  • Jan Kallsen
  • Johannes Muhle-Karbe

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  • Jan Kallsen & Johannes Muhle-Karbe, 2015. "Option Pricing And Hedging With Small Transaction Costs," Mathematical Finance, Wiley Blackwell, vol. 25(4), pages 702-723, October.
    • Handle: RePEc:bla:mathfi:v:25:y:2015:i:4:p:702-723
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    File URL: http://hdl.handle.net/10.1111/mafi.2015.25.issue-4
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    Citations

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    Cited by:

    1. Florent Gallien & Serge Kassibrakis & Semyon Malamud, 2018. "Hedge or Rebalance: Optimal Risk Management with Transaction Costs," Risks, MDPI, vol. 6(4), pages 1-14, October.
    2. Kasper Larsen & Oleksii Mostovyi & Gordan Žitković, 2018. "An expansion in the model space in the context of utility maximization," Finance and Stochastics, Springer, vol. 22(2), pages 297-326, April.
    3. Ibrahim Ekren & Sergey Nadtochiy, 2019. "Utility-based pricing and hedging of contingent claims in Almgren-Chriss model with temporary price impact," Papers 1910.01778, arXiv.org, revised Jun 2020.
    4. Yaroslav Melnyk & Frank Thomas Seifried, 2018. "Small†cost asymptotics for long†term growth rates in incomplete markets," Mathematical Finance, Wiley Blackwell, vol. 28(2), pages 668-711, April.
    5. Martin Herdegen & Johannes Muhle-Karbe, 2018. "Stability of Radner equilibria with respect to small frictions," Finance and Stochastics, Springer, vol. 22(2), pages 443-502, April.
    6. Hans Buhler & Lukas Gonon & Josef Teichmann & Ben Wood, 2018. "Deep Hedging," Papers 1802.03042, arXiv.org.
    7. Rama Cont & Xin Guo & Renyuan Xu, 2020. "Pareto Optima for a Class of Singular Control Games," Working Papers hal-03049246, HAL.
    8. Castañeda, Pablo & Reus, Lorenzo, 2019. "Suboptimal investment behavior and welfare costs: A simulation based approach," Finance Research Letters, Elsevier, vol. 30(C), pages 170-180.
    9. Ludovic Gouden`ege & Andrea Molent & Antonino Zanette, 2023. "Backward Hedging for American Options with Transaction Costs," Papers 2305.06805, arXiv.org, revised Jun 2023.
    10. Pedro Polvora & Daniel Sevcovic, 2021. "Utility indifference Option Pricing Model with a Non-Constant Risk-Aversion under Transaction Costs and Its Numerical Approximation," Papers 2108.12598, arXiv.org.
    11. Johannes Muhle-Karbe & Max Reppen & H. Mete Soner, 2016. "A Primer on Portfolio Choice with Small Transaction Costs," Papers 1612.01302, arXiv.org, revised May 2017.
    12. Rim Bernoussi & Michael Rockinger, 2023. "Rebalancing with transaction costs: theory, simulations, and actual data," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(2), pages 121-160, June.
    13. Sebastian Herrmann & Johannes Muhle-Karbe, 2017. "Model uncertainty, recalibration, and the emergence of delta–vega hedging," Finance and Stochastics, Springer, vol. 21(4), pages 873-930, October.
    14. Shuang Xiao & Guo Li & Yunjing Jia, 2017. "Estimating the Constant Elasticity of Variance Model with Data-Driven Markov Chain Monte Carlo Methods," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 34(01), pages 1-23, February.
    15. Ibrahim Ekren & Sergey Nadtochiy, 2022. "Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 172-225, January.
    16. Sebastian Herrmann & Johannes Muhle-Karbe, 2017. "Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging," Papers 1704.04524, arXiv.org.
    17. Shota Imaki & Kentaro Imajo & Katsuya Ito & Kentaro Minami & Kei Nakagawa, 2021. "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging," Papers 2103.01775, arXiv.org.
    18. Pedro Pólvora & Daniel Ševčovič, 2021. "Utility Indifference Option Pricing Model with a Non-Constant Risk-Aversion under Transaction Costs and Its Numerical Approximation," JRFM, MDPI, vol. 14(9), pages 1-12, August.
    19. Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried, 2017. "Hedging with small uncertainty aversion," Finance and Stochastics, Springer, vol. 21(1), pages 1-64, January.
    20. Lin, Zhongguo & Han, Liyan & Li, Wei, 2021. "Option replication with transaction cost under Knightian uncertainty," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 567(C).
    21. Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried, 2016. "Hedging with Small Uncertainty Aversion," Papers 1605.06429, arXiv.org.
    22. Alet Roux & Zhikang Xu, 2019. "Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs," Papers 1909.06260, arXiv.org, revised May 2021.
    23. Shuaijie Qian & Chen Yang, 2023. "Non-Concave Utility Maximization with Transaction Costs," Papers 2307.02178, arXiv.org.

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