搜索结果: 1-3 共查到“国际贸易学 Transaction costs”相关记录3条 . 查询时间(0.076 秒)
Portfolio optimization with linear and fixed transaction costs
Investment transaction costs linear transactions
2015/8/10
We consider the problem of portfolio selection, with transaction costs and constraints on exposure to risk. Linear transaction costs, bounds on the variance of the return, and bounds on different shor...
Conservative delta hedging under transaction costs
super replication model-free hedging robust hedging model uncertainty transaction costs Leland’s strategy stable convergence
2011/3/30
Explicit robust hedging strategies for convex or concave payoffs under a continuous semimartingale model with uncertainty and small transaction costs are constructed. In an asymptotic sense, the upper...
Hedging of Game Options With the Presence of Transaction Costs
proportional transaction Black-Scholes super-replication price
2011/3/30
We study the problem of super-replication for game options under proportional transaction costs. We consider a multidimensional model which is an extension of the usual Black-Scholes (BS) model, in th...