Have a personal or library account? Click to login
Reduction of the Mean Hedging Transaction Costs / Redukcija povprečnih transakcijskih stroškov hedging tehnike Cover

Reduction of the Mean Hedging Transaction Costs / Redukcija povprečnih transakcijskih stroškov hedging tehnike

Open Access
|Oct 2015

References

  1. 1. Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637-659. http://dx.doi.org/10.1086/26006210.1086/260062
  2. 2. Boyle, P., & Emanuel, D. (1980). Discretely adjusted option hedges. Journal of Financial Economics, 8, 259-282. http://dx.doi.org/10.1016/0304-405X(80)90003-310.1016/0304-405X(80)90003-3
  3. 3. Hull, J. C. (2006). Option, futures & other derivatives. Pearson Prentice-Hall.
  4. 4. Leland, H. E. (1985). Option pricing and replication with transaction costs. Journal of Finance, 40, 1283-1301. http://dx.doi.org/10.1111/j.1540-6261.1985.tb02383.x10.1111/j.1540-6261.1985.tb02383.x
  5. 5. Mastinsek, M. (2006). Discrete-time delta hedging and the Black-Scholes model with transaction costs. Mathematical Methods of Operations Research, 64, 227-236. http://dx.doi.org/10.1007/s00186-006-0086-010.1007/s00186-006-0086-0
  6. 6. Mastinsek, M. (2012). Charm-adjusted delta and delta gamma hedging. Journal of Derivatives, 19(3), 69-76. http://dx.doi.org/10.3905/jod.2012.19.3.06910.3905/jod.2012.19.3.069
  7. 7. Merton, R. C. (1973). Theory of rational option pricing. Bell Journal of Economics and Management Science, 4, 141-183. http://dx.doi.org/10.2307/300314310.2307/3003143
  8. 8. Toft, K. B. (1996). On the mean-variance tradeoff in option replication with transactions costs. The Journal of Financial and Quantitative Analysis, 31(2), 233-263. http://dx.doi.org/10.2307/2331181 10.2307/2331181
DOI: https://doi.org/10.1515/ngoe-2015-0019 | Journal eISSN: 2385-8052 | Journal ISSN: 0547-3101
Language: English
Page range: 23 - 31
Submitted on: Jun 1, 2015
Accepted on: Sep 1, 2015
Published on: Oct 29, 2015
Published by: University of Maribor
In partnership with: Paradigm Publishing Services
Publication frequency: 4 issues per year

© 2015 Miklavž Mastinšek, published by University of Maribor
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.