Dynamic Hedging of Vanilla and Exotic Options with Transaction Costs

2005 ◽  
Author(s):  
Peter J Meindl ◽  
James Primbs
Keyword(s):  
Transaction Costs ◽  
Exotic Options ◽  
Dynamic Hedging

Dynamic Hedging Under Jump Diffusion with Transaction Costs

2009 ◽  
Vol 57 (3) ◽  
pp. 541-559 ◽  
Author(s):  
J. S. Kennedy ◽  
P. A. Forsyth ◽  
K. R. Vetzal
Keyword(s):  
Transaction Costs ◽  
Jump Diffusion ◽  
Dynamic Hedging

Optimal Dynamic Hedging of Equity Options: Residual-Risks, Transaction-Costs, & Conditioning

2010 ◽  
Author(s):  
Andrea Petrelli ◽  
Ram Balachandran ◽  
Olivia Siu ◽  
Rupak Chatterjee ◽  
Zhang Jun ◽  
...  
Keyword(s):  
Transaction Costs ◽  
Dynamic Hedging ◽  
Equity Options ◽  
Optimal Dynamic

Path-dependent options and transaction costs

1994 ◽  
Vol 347 (1684) ◽  
pp. 517-529 ◽  
Keyword(s):  
Differential Equations ◽  
Option Pricing ◽  
Transaction Costs ◽  
Exotic Options ◽  
Exotic Option ◽  
Path Dependent ◽  
Exotic Option Pricing

We describe research in the subjects of exotic option pricing and option pricing when trade in the underlying incurs transaction costs. These two subjects are then formally brought together to model, in terms of differential equations, problems in pricing exotic options with transaction costs. Results are presented in several cases.

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