Hedging problem for Asian call options with transaction costs

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 transactio...

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Bibliographic Details
Published in:Theory of probability and its applications Vol. 68, № 2. P. 211-230
Main Author: Murzintseva, A. A.
Other Authors: Pergamenshchikov, Serguei M., Pchelintsev, Evgeny A.
Format: Article
Language:English
Subjects:
Online Access:http://vital.lib.tsu.ru/vital/access/manager/Repository/koha:001017454
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