Dynamic programming principle and computable prices in financial market models with transaction costs
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jmaa.2023.127068
Note: View the original document on HAL open archive server: https://hal.science/hal-03284655
Download full text from publisher
References listed on IDEAS
- Emmanuel Denis & Yuri Kabanov, 2010.
"Mean square error for the Leland–Lott hedging strategy: convex pay-offs,"
Finance and Stochastics, Springer, vol. 14(4), pages 625-667, December.
- Emmanuel Denis & Yuri Kabanov, 2010. "Mean square error for the Leland-Lott hedging strategy: convex pay-offs," Post-Print hal-00488278, HAL.
- Meriam El Mansour & Emmanuel Lépinette, 2020. "Conditional Interior and Conditional Closure of Random Sets," Journal of Optimization Theory and Applications, Springer, vol. 187(2), pages 356-369, November.
- Lepinette, Emmanuel & Tran, Tuan, 2017. "Arbitrage theory for non convex financial market models," Stochastic Processes and their Applications, Elsevier, vol. 127(10), pages 3331-3353.
- Jouini, Elyes & Kallal, Hedi & Napp, Clotilde, 2001.
"Arbitrage and viability in securities markets with fixed trading costs,"
Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 197-221, April.
- Elyès Jouini & Hédi Kallal & Clotilde Napp, 1999. "Arbitrage and Viability in Securities Markets with Fixed Trading Costs," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-033, New York University, Leonard N. Stern School of Business-.
- Elyès Jouini & Hedi Kallal & Clotilde Napp, 2001. "Arbitrage and viability in securities markets with fixed trading costs," Post-Print halshs-00167157, HAL.
- repec:dau:papers:123456789/4654 is not listed on IDEAS
- repec:dau:papers:123456789/5593 is not listed on IDEAS
- 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.
- Andreas Löhne & Birgit Rudloff, 2014. "An Algorithm For Calculating The Set Of Superhedging Portfolios In Markets With Transaction Costs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(02), pages 1-33.
- Thai Huu Nguyen & Serguei Pergamenshchikov, 2017. "Approximate Hedging Problem With Transaction Costs In Stochastic Volatility Markets," Mathematical Finance, Wiley Blackwell, vol. 27(3), pages 832-865, July.
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.- repec:hal:wpaper:hal-03284655 is not listed on IDEAS
- Martin Brown & Tomasz Zastawniak, 2020. "Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs," Annals of Finance, Springer, vol. 16(3), pages 423-433, September.
- Thai Huu Nguyen & Serguei Pergamenshchikov, 2015. "Approximate hedging problem with transaction costs in stochastic volatility markets," Papers 1505.02546, arXiv.org.
- Huu Thai Nguyen & Serguei Pergamenchtchikov, 2012.
"Approximate hedging problem with transaction costs in stochastic volatility markets,"
Working Papers
hal-00808608, HAL.
- Huu Thai Nguyen & Serguei Pergamenchtchikov, 2012. "Approximate hedging problem with transaction costs in stochastic volatility markets," Working Papers hal-00747689, HAL.
- Serguei Pergamenchtchikov & Alena Shishkova, 2020. "Hedging problems for Asian options with transactions costs," Papers 2001.01443, arXiv.org.
- 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.
- Dorsaf Cherif & Meriam El Mansour & Emmanuel Lepinette, 2023. "A short note on super-hedging an arbitrary number of European options with integer-valued strategies," Papers 2311.08871, arXiv.org.
- Martin Brown & Tomasz Zastawniak, 2019. "Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs," Papers 1905.01859, arXiv.org, revised May 2019.
- Ben Abdallah, Skander & Lasserre, Pierre, 2016.
"Asset retirement with infinitely repeated alternative replacements: Harvest age and species choice in forestry,"
Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 144-164.
- Skander Ben Abdallah & Pierre Lasserre, 2016. "Asset Retirement with Infinitely Repeated Alternative Replacements: Harvest Age and Species Choice in Forestry," CIRANO Working Papers 2016s-37, CIRANO.
- Kau, James B. & Keenan, Donald C., 1999. "Patterns of rational default," Regional Science and Urban Economics, Elsevier, vol. 29(6), pages 765-785, November.
- Carol Alexandra & Leonardo M. Nogueira, 2005. "Optimal Hedging and Scale Inavriance: A Taxonomy of Option Pricing Models," ICMA Centre Discussion Papers in Finance icma-dp2005-10, Henley Business School, University of Reading, revised Nov 2005.
- William R. Morgan, 2023. "Finance Must Be Defended: Cybernetics, Neoliberalism and Environmental, Social, and Governance (ESG)," Sustainability, MDPI, vol. 15(4), pages 1-21, February.
- Filipe Fontanela & Antoine Jacquier & Mugad Oumgari, 2019. "A Quantum algorithm for linear PDEs arising in Finance," Papers 1912.02753, arXiv.org, revised Feb 2021.
- Jun, Doobae & Ku, Hyejin, 2015. "Static hedging of chained-type barrier options," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 317-327.
- Gordian Rättich & Kim Clark & Evi Hartmann, 2011. "Performance measurement and antecedents of early internationalizing firms: A systematic assessment," Working Papers 0031, College of Business, University of Texas at San Antonio.
- Paul Ormerod, 2010. "La crisis actual y la culpabilidad de la teoría macroeconómica," Revista de Economía Institucional, Universidad Externado de Colombia - Facultad de Economía, vol. 12(22), pages 111-128, January-J.
- An Chen & Thai Nguyen & Thorsten Sehner, 2022. "Unit-Linked Tontine: Utility-Based Design, Pricing and Performance," Risks, MDPI, vol. 10(4), pages 1-27, April.
- Kearney, Fearghal & Shang, Han Lin & Sheenan, Lisa, 2019.
"Implied volatility surface predictability: The case of commodity markets,"
Journal of Banking & Finance, Elsevier, vol. 108(C).
- Fearghal Kearney & Han Lin Shang & Lisa Sheenan, 2019. "Implied volatility surface predictability: the case of commodity markets," Papers 1909.11009, arXiv.org.
- Álvarez Echeverría Francisco & López Sarabia Pablo & Venegas Martínez Francisco, 2012. "Valuación financiera de proyectos de inversión en nuevas tecnologías con opciones reales," Contaduría y Administración, Accounting and Management, vol. 57(3), pages 115-145, julio-sep.
- Vorst, A. C. F., 1988. "Option Pricing And Stochastic Processes," Econometric Institute Archives 272366, Erasmus University Rotterdam.
- Dybvig, Philip H. & Gong, Ning & Schwartz, Rachel, 2000. "Bias of Damage Awards and Free Options in Securities Litigation," Journal of Financial Intermediation, Elsevier, vol. 9(2), pages 149-168, April.
More about this item
Keywords
Hedging costs; European options; Dynamic programming principle; No-arbitrage condition; AIP condition; Random set theory; Lower semicontinuity;All these keywords.
Statistics
Access and download statisticsCorrections
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:hal:journl:hal-03284655. 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: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.