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Applied Mathematical Finance Volume 1, 1994 - Issue 2
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Original Articles

Dynamic hedging portfolios for derivative securities in the presence of large transaction costs

Avellaneda Marco Courant Institute of Mathematical Sciences, New York University, 251 Mercer St., New York, NY, 10012, USA
&
ParáS Antonio Courant Institute of Mathematical Sciences, New York University, 251 Mercer St., New York, NY, 10012, USA
Pages 165-194 | Received 08 Jun 1994, Published online: 28 Jul 2006

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Jinqiang Yang & Zhaojun Yang. (2013) Arbitrage-free interval and dynamic hedging in an illiquid market. Quantitative Finance 13:7, pages 1029-1039.
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Artur Sepp. (2012) An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs. Quantitative Finance 12:7, pages 1119-1141.
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Pascal Heider. (2010) Numerical Methods for Non-Linear Black–Scholes Equations. Applied Mathematical Finance 17:1, pages 59-81.
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Wenyuan Liao & AbdulQ.M. Khaliq. (2009) High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost. International Journal of Computer Mathematics 86:6, pages 1009-1023.
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LuisA. Caffarelli & Ulisse Stefanelli. (2008) A Counterexample to C 2,1 Regularity for Parabolic Fully Nonlinear Equations. Communications in Partial Differential Equations 33:7, pages 1216-1234.
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James A. Primbs & Yuji Yamada. (2008) A new computational tool for analysing dynamic hedging under transaction costs. Quantitative Finance 8:4, pages 405-413.
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JoelM. Vanden. (2006) Exact Superreplication Strategies for a Class of Derivative Assets. Applied Mathematical Finance 13:1, pages 61-87.
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Marco Avellaneda & Antonio ParÁS. (1996) Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model. Applied Mathematical Finance 3:1, pages 21-52.
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M. Avellaneda, A. Levy & A. ParÁS. (1995) Pricing and hedging derivative securities in markets with uncertain volatilities. Applied Mathematical Finance 2:2, pages 73-88.
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M. Rezaei, A. R. Yazdanian, A. Ashrafi & S. M. Mahmoudi. (2021) Numerically Pricing Nonlinear Time-Fractional Black–Scholes Equation with Time-Dependent Parameters Under Transaction Costs. Computational Economics 60:1, pages 243-280.
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Nicole Branger & Antje Mahayni. (2010) Tractable hedging with additional hedge instruments. Review of Derivatives Research 14:1, pages 85-114.
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Satyendra Kumar Sharma, Arun Kumar Vaish, Rajan Pandey & Charu Gupta. (2010) Dynamic Delta Hedging. Asia Pacific Business Review 6:4, pages 139-154.
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Rafael Company, Lucas J?dar & Jos?-Ram?n Pintos. (2009) Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs. ESAIM: Mathematical Modelling and Numerical Analysis 43:6, pages 1045-1061.
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Rafael Company, Lucas Jódar & José-Ramón Pintos. (2009) A numerical method for European Option Pricing with transaction costs nonlinear equation. Mathematical and Computer Modelling 50:5-6, pages 910-920.
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Sven Balder, Michael Brandl & Antje Mahayni. (2009) Effectiveness of CPPI strategies under discrete-time trading. Journal of Economic Dynamics and Control 33:1, pages 204-220.
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Rafael Company, Enrique Navarro, José Ramón Pintos & Enrique Ponsoda. (2008) Numerical solution of linear and nonlinear Black–Scholes option pricing equations. Computers & Mathematics with Applications 56:3, pages 813-821.
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Julia Ankudinova & Matthias Ehrhardt. (2008) On the numerical solution of nonlinear Black?Scholes equations. Computers & Mathematics with Applications 56:3, pages 799-812.
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Krzysztof Tokarz & Tomasz Zastawniak. (2006) American contingent claims under small proportional transaction costs. Journal of Mathematical Economics 43:1, pages 65-85.
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Nicole Branger & Antje Mahayni. (2006) Tractable hedging: An implementation of robust hedging strategies. Journal of Economic Dynamics and Control 30:11, pages 1937-1962.
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Miklavž Mastinšek. (2006) Discrete–time delta hedging and the Black–Scholes model with transaction costs. Mathematical Methods of Operations Research 64:2, pages 227-236.
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Hyeong-In Choi, David Heath & Hye-Jin Ku. (2004) VALUATION AND HEDGING OF OPTIONS WITH GENERAL PAYOFF UNDER TRANSACTIONS COSTS. Journal of the Korean Mathematical Society 41:3, pages 513-533.
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Michael Monoyios. (2004) Option pricing with transaction costs using a Markov chain approximation. Journal of Economic Dynamics and Control 28:5, pages 889-913.
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George M. Constantinides & Stylianos Perrakis. (2002) Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs. Journal of Economic Dynamics and Control 26:7-8, pages 1323-1352.
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Dimitris Bertsimas, Leonid Kogan & Andrew W. Lo. (2001) Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach. Operations Research 49:3, pages 372-397.
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THIERRY ANÉ & VINCENT LACOSTE. (2011) UNDERSTANDING BID-ASK SPREADS OF DERIVATIVES UNDER UNCERTAIN VOLATILITY AND TRANSACTION COSTS. International Journal of Theoretical and Applied Finance 04:03, pages 467-489.
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Thaleia Zariphopoulou. 2001. Complementarity: Applications, Algorithms and Extensions. Complementarity: Applications, Algorithms and Extensions 381 400 .
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Marco Avellaneda. (1997) An introduction to option pricing and the mathematical theory of risk. Rendiconti del Seminario Matematico e Fisico di Milano 67:1, pages 225-250.
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E. R. Grannan & G. H. Swindle. (1996) MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES. Mathematical Finance 6:4, pages 341-364.
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Jakša Cvitanić & Ioannis Karatzas. (2006) HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH 1 2 . Mathematical Finance 6:2, pages 133-165.
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Valeri Zakamouline. (2008) Option Pricing and Hedging in the Presence of Transaction Costs and Nonlinear Partial Differential Equations. SSRN Electronic Journal.
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Valeri Zakamouline. (2008) The Best Hedging Strategy in the Presence of Transaction Costs. SSRN Electronic Journal.
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Nicole Branger & Antje Brigitte Mahayni. (2004) Tractable Hedging: An Implementation of Robust Hedging Strategies. SSRN Electronic Journal.
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Artur Sepp. (2012) When You Hedge Discretely: Optimization of Sharpe Ratio for Delta-Hedging Strategy under Discrete Hedging and Transaction Costs. SSRN Electronic Journal.
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Daniel Sevcovic. (2010) On a Numerical Approximation Scheme for Construction of the Early Exercise Boundary for a Class of Nonlinear Black-Scholes Equations. SSRN Electronic Journal.
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Daniel Sevcovic. (2008) Transformation Methods for Evaluating Approximations to the Optimal Exercise Boundary for Linear and Nonlinear Black-Scholes Equations. SSRN Electronic Journal.
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Antje Brigitte Mahayni. (2008) Effectiveness of CPPI Strategies under Discrete-Time Trading. SSRN Electronic Journal.
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