 |
|
|
|
| HAL : hal-00747689, version 1 |
| Fiche détaillée |  Récupérer au format |
|
|
|
|
| Approximate hedging problem with transaction costs in stochastic volatility markets |
|
|
| Huu Thai Nguyen 1Serguei Pergamenchtchikov 1 |
|
|
| (01/11/2012) |
|
|
|
| This paper investigates the problem of hedging European call options using Leland's strategy in stochastic volatility markets with transaction costs. Introducing a new form for the enlarged volatility in Leland's algorithm, we establish a limit theorem and determine a convergence rate for the hedging error. This provides a suggestion to release the underhedging property pointed out by Kabanov and Safarian (1997). Possibilities to improve the convergence rate and lower the option price inclusive transaction costs are also discussed. |
|
|
|
|
|
|
|
|
|
|
|
| 1 : | Laboratoire de Mathématiques Raphaël Salem (LMRS) |
|
|
|
CNRS : UMR6085 – Université de Rouen |
|
|
|
|
|
|
|
|
|
| Domaine | : | Mathématiques/Probabilités Économie et finance quantitative/Finance quantitative |
|
|
| Leland strategy – transaction costs – quantile hedging – limit theorem |
|
|
|
| Liste des fichiers attachés à ce document : | |||||
|
|||||
|
|
|
| hal-00747689, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00747689 | |
| oai:hal.archives-ouvertes.fr:hal-00747689 | |
| Contributeur : Huu Thai Nguyen | |
| Soumis le : Jeudi 1 Novembre 2012, 00:19:54 | |
| Dernière modification le : Vendredi 2 Novembre 2012, 08:52:09 | |
