| 000 | 01797nab a2200301 c 4500 | ||
|---|---|---|---|
| 001 | vtls000626950 | ||
| 003 | RU-ToGU | ||
| 005 | 20230207175202.0 | ||
| 007 | cr | | ||
| 008 | 180514|2017 xxu s a eng d | ||
| 024 | 7 |
_a10.1111/mafi.12094 _2doi |
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| 035 | _ato000626950 | ||
| 040 |
_aRU-ToGU _brus _cRU-ToGU |
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| 100 | 1 |
_aNguen, Thai Huu _9508762 |
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| 245 | 1 | 0 |
_aApproximate hedging problem with transaction costs in stochastic volatility markets _cT. H. Nguen, S. M. Pergamenshchikov |
| 520 | 3 | _aThis paper studies the problem of option replication in general stochastic volatility markets with transaction costs, using a new specification for the volatility adjustment in Leland's algorithm. We prove several limit theorems for the normalized replication error of Leland's strategy, as well as that of the strategy suggested by Lépinette. The asymptotic results obtained not only generalize the existing results, but also enable us to fix the underhedging property pointed out by Kabanov and Safarian. We also discuss possible methods to improve the convergence rate and to reduce the option price inclusive of transaction costs. | |
| 653 | _aтранзакционные издержки | ||
| 653 | _aстохастическая волатильность | ||
| 653 | _aхеджирование | ||
| 653 | _aквантили | ||
| 655 | 4 |
_aстатьи в журналах _9745982 |
|
| 700 | 1 |
_aPergamenshchikov, Serguei M. _998934 |
|
| 773 | 0 |
_tMathematical finance _d2017 _gVol. 7, № 3. P. 832-865 _x0960-1627 |
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| 852 | 4 | _aRU-ToGU | |
| 856 | 7 | _uhttp://vital.lib.tsu.ru/vital/access/manager/Repository/vtls:000626950 | |
| 908 | _aстатья | ||
| 999 | _c518784 | ||