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

页码：508 / 551

页数：44

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