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dc.contributor.authorLamberton, Damienen
dc.contributor.authorPham, Huyênen
dc.contributor.authorSchweizer, Martinen
dc.date.accessioned2012-08-24T13:47:18Z-
dc.date.available2012-08-24T13:47:18Z-
dc.date.issued1998-
dc.identifier.piurn:nbn:de:kobv:11-10056588en
dc.identifier.urihttp://hdl.handle.net/10419/61301-
dc.description.abstractWe propose a new approach to the pricing and hedging of contingent claims under transaction costs in a general incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk and a nondegeneracy condition on the conditional variances of asset returns, we prove the existence of a locally risk-minimizing strategy inclusive of transaction costs for every square-integrable contingent claim. Then we show that local riskminimization is robust under the inclusion of transaction costs: The preceding strategy which is locally risk-minimizing inclusive of transaction costs in a model with bid-ask spreads on the underlying asset is also locally risk-minimizing without transaction costs in a fictitious model which is frictionless and where the fictitious asset price lies between the bid and ask price processes of the original model. In particular, our results apply to any nondegenerate model with a finite state space if the transaction cost parameter is sufficiently small.en
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlinen
dc.relation.ispartofseries|aSFB 373 Discussion Paper |x1998,18en
dc.subject.jelG10en
dc.subject.jelC60en
dc.subject.ddc330en
dc.subject.keywordoption pricingen
dc.subject.keywordhedgingen
dc.subject.keywordtransaction costsen
dc.subject.keywordlocally risk-minimizing strategiesen
dc.subject.keywordmean-variance tradeoffen
dc.titleLocal risk-minimization under transaction costs-
dc.typeWorking Paperen
dc.identifier.ppn721438024en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:sfb373:199818en

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