دورية أكاديمية
Risk minimization for game options in markets imposing minimal transaction costs
| العنوان: | Risk minimization for game options in markets imposing minimal transaction costs |
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| المؤلفون: | Dolinsky, Yan, Kifer, Yuri |
| بيانات النشر: | Applied Probability Trust |
| سنة النشر: | 2016 |
| المجموعة: | Project Euclid (Cornell University Library) |
| مصطلحات موضوعية: | Game option, transaction cost, hedging with friction, risk minimization, 91G10, 91G20, 60F15, 60G40, 60G44 |
| الوصف: | We study partial hedging for game options in markets with transaction costs bounded from below. More precisely, we assume that the investor's transaction costs for each trade are the maximum between proportional transaction costs and a fixed transaction cost. We prove that in the continuous-time Black‒Scholes (BS) model, there exists a trading strategy which minimizes the shortfall risk. Furthermore, we use binomial models in order to provide numerical schemes for the calculation of the shortfall risk and the corresponding optimal portfolio in the BS model. |
| نوع الوثيقة: | text |
| وصف الملف: | application/pdf |
| اللغة: | English |
| تدمد: | 0001-8678 1475-6064 |
| العلاقة: | http://projecteuclid.org/euclid.aap/1474296321Test; Adv. in Appl. Probab. 48, no. 3 (2016), 926-946 |
| الإتاحة: | http://projecteuclid.org/euclid.aap/1474296321Test |
| حقوق: | Copyright 2016 Applied Probability Trust |
| رقم الانضمام: | edsbas.F7E2A831 |
| قاعدة البيانات: | BASE |
| تدمد: | 00018678 14756064 |
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