Hedging Under an Expected Loss Constraint with Small Transaction Costs

被引：6
|
作者：
Bouchard, Bruno [1 ,2 ]
Moreau, Ludovic [3 ]
Soner, H. Mete [3 ,4 ]
机构：
[1] Univ Paris 09, CEREMADE, Paris, France
[2] ENSAE, CREST, F-92240 Malakoff, France
[3] Swiss Fed Inst Technol, Dept Math, Zurich, Switzerland
[4] Swiss Finance Inst, Zurich, Switzerland
来源：
SIAM JOURNAL ON FINANCIAL MATHEMATICS | 2016年 / 7卷 / 01期
基金：
瑞士国家科学基金会;
关键词：
expected loss constraint; hedging; transaction cost; asymptotic expansion; STOCHASTIC TARGET PROBLEMS; PARTIAL-DIFFERENTIAL-EQUATIONS; ASYMPTOTIC ANALYSIS; OPTIMAL INVESTMENT; UTILITY MAXIMIZATION; PORTFOLIO SELECTION; VISCOSITY SOLUTIONS; SUPER-REPLICATION; CURRENCY MARKETS; DISCRETE-TIME;
D O I：
10.1137/15M1006787
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication 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 general expansion theory is developed using the dynamic programming approach. Explicit formulae are obtained in the special cases of exponential and power utility functions. As a corollary, we retrieve the asymptotics for the exponential utility indifference price.
引用
收藏
页码：508 / 551
页数：44
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