Non Quadratic Local Risk-Minimization for Hedging Contingent Claims in the Presence of Transaction Costs - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2011

Non Quadratic Local Risk-Minimization for Hedging Contingent Claims in the Presence of Transaction Costs

Résumé

This paper is devoted to the study of derivative hedging in incomplete markets when frictions are considered. We extend the general local risk minimisation approach introduced in [1] to account for liquidity costs, and derive the corresponding optimal strategies in both the discrete- and continuous-time settings. We examplify our method in the case of stochastic volatility and/or jump-diffusion models.
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Dates et versions

hal-00621256 , version 1 (09-09-2011)
hal-00621256 , version 2 (06-12-2011)

Identifiants

  • HAL Id : hal-00621256 , version 2

Citer

Frédéric Abergel, Nicolas Millot. Non Quadratic Local Risk-Minimization for Hedging Contingent Claims in the Presence of Transaction Costs. 2011. ⟨hal-00621256v2⟩
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