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Option pricing and hedging with small transaction costs
 Math. Finance
, 2012
"... An investor with constant absolute risk aversion trades a risky asset with general Itôdynamics, in the presence of small proportional transaction costs. In this setting, we formally derive a leadingorder optimal trading policy and the associated welfare, expressed in terms of the local dynamics o ..."
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Cited by 8 (6 self)
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An investor with constant absolute risk aversion trades a risky asset with general Itôdynamics, in the presence of small proportional transaction costs. In this setting, we formally derive a leadingorder optimal trading policy and the associated welfare, expressed in terms of the local dynamics
Homogenization and asymptotics for small transaction costs: Multi dimensions,
, 2012
"... Abstract We consider the classical Merton problem of lifetime consumptionportfolio optimization problem with small proportional transaction costs. The first order term in the asymptotic expansion is explicitly calculated through a singular ergodic control problem which can be solved in closed form ..."
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Cited by 20 (6 self)
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Abstract We consider the classical Merton problem of lifetime consumptionportfolio optimization problem with small proportional transaction costs. The first order term in the asymptotic expansion is explicitly calculated through a singular ergodic control problem which can be solved in closed
The general structure of optimal investment and consumption with small transaction costs, preprint
, 2013
"... We investigate the general structure of optimal investment and consumption with small proportional transaction costs. For a safe asset and a risky asset with general continuous dynamics, traded with random and timevarying but small transaction costs, we derive simple formal asymptotics for the opt ..."
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Cited by 11 (7 self)
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We investigate the general structure of optimal investment and consumption with small proportional transaction costs. For a safe asset and a risky asset with general continuous dynamics, traded with random and timevarying but small transaction costs, we derive simple formal asymptotics
Hedging under an expected loss constraint with small transaction costs
, 2013
"... We consider the problem of option hedging in a market with proportional transaction costs. Since superreplication is very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small transaction costs is used to obtain a tractable model. A gener ..."
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Cited by 4 (1 self)
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We consider the problem of option hedging in a market with proportional transaction costs. Since superreplication is very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small transaction costs is used to obtain a tractable model. A
Asymptotic Analysis for Target Asset Portfolio Allocation with Small Transaction Costs
"... Abstract. In this paper we discuss the asset allocation in the presence of small proportional transaction costs. The objective is to keep the asset portfolio close to a target portfolio and at the same time to reduce the trading cost in doing so. We derive the variational inequality and prove a ver ..."
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Abstract. In this paper we discuss the asset allocation in the presence of small proportional transaction costs. The objective is to keep the asset portfolio close to a target portfolio and at the same time to reduce the trading cost in doing so. We derive the variational inequality and prove a
Portfolio optimization under small transaction costs: a convex duality approach
, 2013
"... Abstract We consider an investor with constant absolute risk aversion who trades a risky asset with general Itô dynamics, in the presence of small proportional transaction costs. Kallsen and MuhleKarbe ..."
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Cited by 3 (0 self)
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Abstract We consider an investor with constant absolute risk aversion who trades a risky asset with general Itô dynamics, in the presence of small proportional transaction costs. Kallsen and MuhleKarbe
Portfolio selection with small transaction costs and binding portfolio constraints
, 2012
"... An investor with constant relative risk aversion and an infinite planning horizon trades a risky and a safe asset with constant investment opportunities, in the presence of small transaction costs and a binding exogenous portfolio constraint. We explicitly derive the optimal trading policy, its wel ..."
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Cited by 2 (1 self)
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An investor with constant relative risk aversion and an infinite planning horizon trades a risky and a safe asset with constant investment opportunities, in the presence of small transaction costs and a binding exogenous portfolio constraint. We explicitly derive the optimal trading policy, its
The Scaling Limit of Superreplication Prices with Small Transaction Costs in the Multivariate Case
, 2015
"... Kusuoka [Limit Theorem on Option Replication Cost with Transaction Costs, Ann. Appl. Probab. 5, 198–221, (1995).] showed how to obtain nontrivial scaling limits of superreplication prices in discretetime models of a single risky asset which is traded at properly scaled proportional transaction cos ..."
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Kusuoka [Limit Theorem on Option Replication Cost with Transaction Costs, Ann. Appl. Probab. 5, 198–221, (1995).] showed how to obtain nontrivial scaling limits of superreplication prices in discretetime models of a single risky asset which is traded at properly scaled proportional transaction
Results 1  10
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30,865