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Quantitative Finance Volume 8, 2008 - Issue 4
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Research Papers

A new computational tool for analysing dynamic hedging under transaction costs

James A. Primbs 444 Terman Engineering Centre, Management Science and Engineering, Stanford University, Stanford, CA, 94305-4026444, USACorrespondence[email protected]
&
Yuji Yamada Graduate School of Business Sciences, University of Tsukuba, Tokyo, 112-0012, Japan
Pages 405-413 | Received 03 Apr 2006, Accepted 17 Apr 2007, Published online: 12 Jun 2008

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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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M. Yousuf, A.Q.M. Khaliq & B. Kleefeld. (2012) The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost. International Journal of Computer Mathematics 89:9, pages 1239-1254.
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Articles from other publishers (8)

Mogens Graf Plessen, Laura Puglia, Tommaso Gabbriellini & Alberto Bemporad. (2017) Dynamic option hedging with transaction costs: A stochastic model predictive control approach. International Journal of Robust and Nonlinear Control 29:15, pages 5058-5077.
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Minseok Park, Kyungsub Lee & Geon Ho Choe. (2016) Distribution of Discrete Time Delta-Hedging Error via a Recursive Relation. East Asian Journal on Applied Mathematics 6:3, pages 314-336.
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Edgardo Brigatti, Felipe Macías, Max O. Souza & Jorge P. Zubelli. 2015. Commodities, Energy and Environmental Finance. Commodities, Energy and Environmental Finance 275 299 .
Alberto Bemporad, Laura Puglia & Tommaso Gabbriellini. (2011) A stochastic model predictive control approach to dynamic option hedging with transaction costs. A stochastic model predictive control approach to dynamic option hedging with transaction costs.
DILIP B. MADAN & ALEXANDER CHERNY. (2011) MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE. International Journal of Theoretical and Applied Finance 13:08, pages 1149-1177.
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Alexandru Giurca & Svetlana Borovkova. (2021) Delta Hedging of Derivatives using Deep Reinforcement Learning. SSRN Electronic Journal.
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Dilip B. Madan & Alexander S. Cherny. (2010) Illiquid Markets as a Counterparty: An Introduction to Conic Finance. SSRN Electronic Journal.
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Zhaojun Yang & Jinqiang Yang. (2009) Arbitrage-Free Interval and Dynamic Hedging in an Illiquid Market. SSRN Electronic Journal.
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