Risk minimization in the model with transaction costs
Michał Motoczyński
Applicationes Mathematicae, Tome 30 (2003), p. 209-216 / Harvested from The Polish Digital Mathematics Library
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The problem of hedging a contingent claim with minimization of quadratic risk is studied. Existence of an optimal strategy for the model with proportional transaction cost and nondelayed observation is shown.

Publié le : 2003-01-01
EUDML-ID : urn:eudml:doc:279484 
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     title = {Risk minimization in the model with transaction costs},
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     year = {2003},
     pages = {209-216},
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Michał Motoczyński. Risk minimization in the model with transaction costs. Applicationes Mathematicae, Tome 30 (2003) pp. 209-216. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am30-2-5/