HEDGING PROBLEM FOR ASIAN CALL OPTIONS WITH TRANSACTION COSTS

被引：0

作者：

Murzintseva, A. A. ^{[1
]}

Pergamenchtchikov, S. M. ^{[2
]}

Pchelintsev, E. A. ^{[1
]}

机构：

[1] Tomsk State Univ, Fac Mech & Math, Tomsk 634050, Russia

[2] Univ Rouen, Lab Math Raphael Salem, Rouen, France

来源：

THEORY OF PROBABILITY AND ITS APPLICATIONS | 2023年 / 68卷 / 02期

基金：

俄罗斯科学基金会;

关键词：

Black-Scholes model; Asian options; hedging problem; transaction cost market; asymptotic hedging; Leland strategy; option pricing; STRATEGY;

D O I：

10.1137/S0040585X97T991374

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we develop asymptotic Asian option hedging methods for the Black- Scholes markets with transaction costs. We first construct classical replication strategies and then, using the Leland approach, propose corresponding modifications for the financial markets with proportional transaction costs. Sufficient conditions are found on the transaction costs implying the asymptotic hedging for the constructed strategies. The pricing problem is also considered. Three cases are studied: the case where the option price is the same as for the hedging problem without transaction costs, the case of increasing volatility, and the case where the option price equals the option price of the "buy and hold" strategy for European call options.

引用

页码：211 / 230

页数：20

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