Hedging under an expected loss constraint with small transaction costs
Date
2016Publisher city
ParisLink to item file
https://arxiv.org/abs/1309.4916v2Dewey
Probabilités et mathématiques appliquéesSujet
Expected loss constraint; transaction cost; asymptotic expansion; hedgingJEL code
D23Journal issue
SIAM Journal on Financial MathematicsVolume
7Number
1Publication date
2016Article pages
508-551Publisher
Society for Industrial and Applied MathematicsCollections
Metadata
Show full item recordAuthor
Bouchard, Bruno
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Moreau, Ludovic
Soner, Halil Mete