APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS

Author:

Nguyen Thai Huu1,Pergamenshchikov Serguei2

Affiliation:

1. UMR 6085 CNRS-Université de Rouen and; University of Economics

2. UMR 6085 CNRS-Université de Rouen and National Research University - Higher School of Economics

Funder

Russian Science Foundation

Tomsk State University

Vietnam Overseas Scholarship Program

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Reference37 articles.

1. Option Replication with Transaction Costs: General Diffusion Limits;Ahn;Ann. Appl. Probab,1998

2. Moment Explosions in Stochastic Volatility Models;Andersen;Finance Stoch,2007

3. Stochastic Volatility Option Pricing;Ball;Finance Quant. Anal,1994

4. Quantile Hedging on Markets with Proportional Transaction Costs;Baran;Appl. Math. Warsaw,2003

5. Barski , M. 2011 Quantile Hedging for Multiple Assets Derivatives http://arxiv.org/abs/1010.5810

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