کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
481655 1446180 2008 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Small transaction cost asymptotics and dynamic hedging
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
Small transaction cost asymptotics and dynamic hedging
چکیده انگلیسی

Transaction costs are one of the major impediments to the implementation of dynamic hedging strategies. We consider an alternative to utility maximization, similar to the “good-deal” pricing framework in incomplete markets. We perform a dynamic risk–reward analysis for a family of non-self-financing strategies of practical importance: deterministic time hedging; i.e., hedging at predetermined, fixed, times. In the limit of small relative transaction costs, we carry out the asymptotic analysis and find that transaction costs affect the hedge ratios and that the time between trades is related in a simple way to the local sensitivities of the replication target.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 185, Issue 3, 16 March 2008, Pages 1404–1414
نویسندگان
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