IDEAS home Printed from https://ideas.repec.org/a/vrs/ngooec/v61y2015i5p23-31n3.html
   My bibliography  Save this article

Reduction of the Mean Hedging Transaction Costs / Redukcija povprečnih transakcijskih stroškov hedging tehnike

Author

Listed:
  • Mastinšek Miklavž

    (University of Maribor, Faculty of Economics and Business, Slovenia)

Abstract

Na finančnih trgih se pri uporabi hedging tehnike pojavijo transakcijski stroški. V tem članku se obravnava problem uporabe delta hedging tehnike ter redukcije proporcionalnih transakcijskih stroškov. V literaturi navedene metode običajno temeljijo le na uporabi tako imenovanega faktorja gama, ki ponavadi predstavlja največji člen v aproksimacijski vrsti. Toda pri opcijah s kratkim časom dospetja, mesec ali nekaj tednov, lahko drugi členi vrste postanejo celo večji. Tedaj so potrebne natančnejše aproksimacije. V tem članku so analizirane aproksimacije višjega reda in njihova uporaba pri zmanjšanju povprečnih proporcionalnih transakcijskih stroškov. Na podlagi analize je podan ustrezno prilagojen faktor delta, s katerim se povprečni aproksimativni proporcionalni transakcijski stroški lahko zmanjšajo. Pripadajoča napaka hedging tehnike se pri tem ne poveča. Za ilustracijo metode je dodanih nekaj primerov.

Suggested Citation

  • Mastinšek Miklavž, 2015. "Reduction of the Mean Hedging Transaction Costs / Redukcija povprečnih transakcijskih stroškov hedging tehnike," Naše gospodarstvo/Our economy, Sciendo, vol. 61(5), pages 23-31, October.
    • Handle: RePEc:vrs:ngooec:v:61:y:2015:i:5:p:23-31:n:3
    DOI: 10.1515/ngoe-2015-0019
    as

    Download full text from publisher

    File URL: https://doi.org/10.1515/ngoe-2015-0019
    Download Restriction: no
    File URL: https://libkey.io/10.1515/ngoe-2015-0019?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Leland, Hayne E, 1985. "Option Pricing and Replication with Transactions Costs," Journal of Finance, American Finance Association, vol. 40(5), pages 1283-1301, December.
    2. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    3. Boyle, Phelim P. & Emanuel, David, 1980. "Discretely adjusted option hedges," Journal of Financial Economics, Elsevier, vol. 8(3), pages 259-282, September.
    4. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Clewlow, Les & Hodges, Stewart, 1997. "Optimal delta-hedging under transactions costs," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1353-1376, June.
    2. Raymond Chiang & John Okunev & Mark Tippett, 1997. "Stochastic interest rates, transaction costs, and immunizing foreign currency risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 17(5), pages 579-598, August.
    3. Pascal François & Lars Stentoft, 2021. "Smile‐implied hedging with volatility risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1220-1240, August.
    4. Wang, Xiao-Tian & Li, Zhe & Zhuang, Le, 2017. "Risk preference, option pricing and portfolio hedging with proportional transaction costs," Chaos, Solitons & Fractals, Elsevier, vol. 95(C), pages 111-130.
    5. Bas Peeters & Cees L. Dert & André Lucas, 2003. "Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong," Tinbergen Institute Discussion Papers 03-090/2, Tinbergen Institute.
    6. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 2001. "When Is Time Continuous?," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 3, pages 71-102, World Scientific Publishing Co. Pte. Ltd..
    7. Antonio S. Mello & Henrik J. Neuhaus, 1998. "A Portfolio Approach to Risk Reduction in Discretely Rebalanced Option Hedges," Management Science, INFORMS, vol. 44(7), pages 921-934, July.
    8. Miklavž Mastinšek, 2006. "Discrete–time delta hedging and the Black–Scholes model with transaction costs," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 64(2), pages 227-236, October.
    9. Wang, Xiao-Tian & Zhao, Zhong-Feng & Fang, Xiao-Fen, 2015. "Option pricing and portfolio hedging under the mixed hedging strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 424(C), pages 194-206.
    10. Howe, M. A. & Rustem, B. & Selby, M. J. P., 1996. "Multi-period minimax hedging strategies," European Journal of Operational Research, Elsevier, vol. 93(1), pages 185-204, August.
    11. Miklavz Mastinsek, 2016. "On Robustness Of The Black–Scholes Partial Differential Equation Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-11, March.
    12. Peter Carr & Liuren Wu, 2014. "Static Hedging of Standard Options," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 12(1), pages 3-46.
    13. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742, Decembrie.
    14. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    15. Hu, Yuan & Lindquist, W. Brent & Rachev, Svetlozar T. & Shirvani, Abootaleb & Fabozzi, Frank J., 2022. "Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
    16. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.
    17. Ben Hambly & Renyuan Xu & Huining Yang, 2021. "Recent Advances in Reinforcement Learning in Finance," Papers 2112.04553, arXiv.org, revised Feb 2023.
    18. Lv, Longjin & Xiao, Jianbin & Fan, Liangzhong & Ren, Fuyao, 2016. "Correlated continuous time random walk and option pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 100-107.
    19. Perrakis, Stylianos & Lefoll, Jean, 2000. "Option pricing and replication with transaction costs and dividends," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1527-1561, October.
    20. Chuang-Chang Chang & Jun-Biao Lin, 2010. "The valuation of multivariate contingent claims under transformed trinomial approaches," Review of Quantitative Finance and Accounting, Springer, vol. 34(1), pages 23-36, January.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:vrs:ngooec:v:61:y:2015:i:5:p:23-31:n:3. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.sciendo.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.