Minimizing transaction costs of option hedging strategies

Mathematical Finance

Volumn 6, Issue 4, 1996, Pages 341-364

  Grannan, E R ^a   Swindle, G H ^b  

^a LEHMAN BROTHERS   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Hedging strategies; Transaction costs

Indexed keywords

EID: 0030305090     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9965.1996.tb00121.x     Document Type: Article

References (16)

1. AVELLANEDA, M., and A. PARAS (1994): "Dynamic Hedging Portfolios for Derivative Securities in the Presence of Large Transaction Costs," Appl. Math. Finance, 1, 165-193.
2. BENSAID, B., J. P. LESNE, H. PAGES, and J. SCHEINKMAN (1992): "Derivative Asset Pricing with Transaction Costs," Math. Finance, 2, 63-86.
3. BLACK, F., and M. SCHOLES (1973): "The Pricing of Options and Corporate Liabilities," J. Polit. Econ., 81, 637-654.
4. BOYLE, P. P., and T. VORST (1992): "Option Replication in Discrete Time with Transaction Costs," J. Finance, 47, 271-294.
5. COX, J. C., S. A. ROSS, and M. RUBINSTEIN (1979): "Option Pricing: A Simplified Approach," J. Financial Econ., 7, 229-263.
6. DAVIS, M. H. A., and A. R. NORMAN (1990): "Portfolio Selection with Transaction Costs," Math. Oper. Res., 15, 676-713.
7. DAVIS, M. H. A., V. G. PANAS, and T. ZARIPHOPOULOU (1993): "Portfolio Selection with Transaction Costs," SIAM J. Control Optim., 31, 470-493.
8. DURRETT, R. (1984): Brownian Motion and Martingales in Analysis. Belmont, CA: Wadsworth.
9. FRIEDMAN, A. (1964): Partial Differential Equations of Parabolic Type. Englewood Cliffs, NJ: Prentice-Hall.
10. EDIRISINGHE, C., V. NAIK, and R. UPPAL (1993): "Optimal Replication of Options with Transaction Costs and Trading Restrictions," J. Financial Quant. Anal., 28, 117-138.
11. HENROTTE, P. (1991): "Transactions Costs and Duplication Strategies," preprint.
12. KARATZAS, I., and S. SHREVE (1991): Brownian Motion and Stochastic Calculus. New York: Springer-Verlag.
13. LELAND, H. E. (1985): "Option Pricing and Replication with Transactions Costs," J. Finance, 40, 1283-1301.
14. MERTON, R. C. (1971): "Optimum Consumption and Portfolio Rules in a Continuous Time Model," J. Econ. Theory, 3, 373-413.
15. PRESS, W., S. TEUKOLSKY, W. VETTERLING, and B. FLANNERY (1992): Numerical Recipes in FORTRAN. Cambridge University Press.
16. PROTTER, P. (1990): Stochastic Integration and Differential Equations. New York: Springer-Verlag.