Risk minimization in the model with transaction costs
Applicationes Mathematicae (2003)
- Volume: 30, Issue: 2, page 209-216
- ISSN: 1233-7234
Access Full Article
top
Abstract
topHow to cite
topMichał Motoczyński. "Risk minimization in the model with transaction costs." Applicationes Mathematicae 30.2 (2003): 209-216. <http://eudml.org/doc/279484>.
@article{MichałMotoczyński2003,
abstract = {The problem of hedging a contingent claim with minimization of quadratic risk is studied. Existence of an optimal strategy for the model with proportional transaction cost and nondelayed observation is shown.},
author = {Michał Motoczyński},
journal = {Applicationes Mathematicae},
keywords = {option pricing; quadratic risk; trading strategy; predictability condition; gain functional; contingent claim; attainable gains; closedness; variance-optimal hedging},
language = {eng},
number = {2},
pages = {209-216},
title = {Risk minimization in the model with transaction costs},
url = {http://eudml.org/doc/279484},
volume = {30},
year = {2003},
}
TY - JOUR
AU - Michał Motoczyński
TI - Risk minimization in the model with transaction costs
JO - Applicationes Mathematicae
PY - 2003
VL - 30
IS - 2
SP - 209
EP - 216
AB - The problem of hedging a contingent claim with minimization of quadratic risk is studied. Existence of an optimal strategy for the model with proportional transaction cost and nondelayed observation is shown.
LA - eng
KW - option pricing; quadratic risk; trading strategy; predictability condition; gain functional; contingent claim; attainable gains; closedness; variance-optimal hedging
UR - http://eudml.org/doc/279484
ER -
NotesEmbed ?
topYou must be logged in to post comments.
To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.