Электронная библиотека (репозиторий) Томского государственного университета

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Add   Hedging problem for Asian call options with transaction costs
Authors: Murzintseva, A. A. | Pergamenshchikov, Serguei M. | Pchelintsev, Evgeny A.
Source: Theory of probability and its applications. 2023. Vol. 68, № 2. P. 211-230
Type: статьи в журналах
Date: 2023
Description: In this paper, we develop asymptotic Asian option hedging methods for the Black--Scholes markets with transaction costs. We first construct classical replication strategies and then, using the Leland ... More
Add   Approximate hedging with constant proportional transaction costs in financial markets with jumps
Authors: Nguen, Thai Huu | Pergamenshchikov, Serguei M.
Source: Theory of probability and its applications. 2020. Vol. 65, № 2. P. 224-248
Type: статьи в журналах
Date: 2020
Description: We study a problem of option replication under constant proportional transaction costs in models where stochastic volatility and jumps are combined to capture the market's important features. Assuming ... More
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