Local risk-minimization under transaction costs
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Cited by:
- Kristian Buchardt & Christian Furrer & Thomas M{o}ller, 2019. "Tax- and expense-modified risk-minimization for insurance payment processes," Papers 1907.04230, arXiv.org, revised Mar 2020.
- Maciej Augustyniak & Frédéric Godin & Clarence Simard, 2017. "Assessing the effectiveness of local and global quadratic hedging under GARCH models," Quantitative Finance, Taylor & Francis Journals, vol. 17(9), pages 1305-1318, September.
- Eric Beutner, 2007. "Mean–variance hedging under transaction costs," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 65(3), pages 539-557, June.
- Ewald, Christian-Oliver & Nawar, Roy & Siu, Tak Kuen, 2013. "Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance," Energy Economics, Elsevier, vol. 36(C), pages 97-107.
- Panagiotis Christodoulou & Nils Detering & Thilo Meyer-Brandis, 2017. "Local risk-minimization with multiple assets under illiquidity with applications in energy markets," Papers 1705.06918, arXiv.org, revised Jun 2018.
- Jan Kallsen & Johannes Muhle-Karbe, 2011. "Existence of shadow prices in finite probability spaces," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 73(2), pages 251-262, April.
- Giuseppe Benedetti & Luciano Campi & Jan Kallsen & Johannes Muhle-Karbe, 2011. "On the Existence of Shadow Prices," Papers 1111.6633, arXiv.org, revised Jan 2013.
- Giuseppe Benedetti & Luciano Campi & Jan Kallsen & Johannes Muhle-Karbe, 2013. "On the existence of shadow prices," Finance and Stochastics, Springer, vol. 17(4), pages 801-818, October.
- Panagiotis Christodoulou & Nils Detering & Thilo Meyer-Brandis, 2018. "Local Risk-Minimization With Multiple Assets Under Illiquidity With Applications In Energy Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-44, June.
- Schweizer, Martin, 1999. "A guided tour through quadratic hedging approaches," SFB 373 Discussion Papers 1999,96, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Jin Hyuk Choi & Mihai Sirbu & Gordan Zitkovic, 2012. "Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs," Papers 1204.0305, arXiv.org, revised Jun 2012.
- Monoyios, Michael, 2004. "Option pricing with transaction costs using a Markov chain approximation," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 889-913, February.
- Pansera, Jérôme, 2012. "Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 1-11.
- Taiga Saito, 2017. "Hedging and pricing illiquid options with market impacts," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-37, June.
- Giuseppe Benedetti & Luciano Campi & Jan Kallsen & Johannes Muhle-Karbe, 2011. "On the existence of shadow prices," Working Papers hal-00645980, HAL.
More about this item
Keywords
option pricing; hedging; transaction costs; locally risk-minimizing strategies; mean-variance tradeoff;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
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