Dynamic hedging with transaction costs using receding horizon control

Proceedings of the Second IASTED International Conference on Financial Engineering and Applications

Volumn , Issue , 2004, Pages 142-147

  Meindl, Peter J ^a   Primbs, James A ^a  

^a Stanford University   (United States)

Author keywords

Control theory; Dynamic hedging; Transaction costs

Indexed keywords

BROWNIAN MOVEMENT; COMPUTER SIMULATION; COSTS; ERROR ANALYSIS; MATHEMATICAL MODELS; MONTE CARLO METHODS; OPTIMIZATION; RANDOM PROCESSES;

DYNAMIC HEDGING; HEDGING ERROR; HORIZON CONTROL; TRANSACTION COSTS;

CONTROL THEORY;

EID: 11144268018     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (9)

1. J. Primbs, Nonlinear Optimal Control: A Receding Horizon Approach, CDS, Caltech, 1999, 28-40.
2. C. Garcia, D. Prett, & M Morari, Model Predictive Control: Theory and Practice - a Survey, Automatica, 25(3), 1989, 335-348.
3. F. Black & M. Scholes, The Valuation of Options and Corporate Liabilities, Journal of Political Economy, 81, 1973, 637-654.
4. S. Heston, A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options, The Review of Financial Studies, 6(2), 1993, 327-343.
5. J. Hull & A. White, The Pricing of Options on Assets with Stochastic Volatilities, Journal of Finance, 42(2), 1987, 281-300.
6. J. Hull & A. White, Valuing Derivative Securities Using the Explicit Finite Difference Method, Journal of Financial and Quantitative Analysis, 25(1), 1990, 87-100.
7. P. Boyle, A Lattice Framework for Option Pricing with Two State Variables, Journal of Financial and Quantitative Analysis, 23(1), 1988, 1-12.
8. E. M. Stein & J. C. Stein, Stock Price Distribution with Stochastic Volatility: An Analytic Approach, Review of Financial Studies, 4(4), 1991, 727-752.
9. H. Bessembinder, Issues in Assessing Trade Execution Costs, forthcoming in Journal of Financial Markets.