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dc.contributor.author
Dolinsky, Yan
dc.date.accessioned
2020-09-28T10:02:04Z
dc.date.available
2017-06-09T08:28:45Z
dc.date.available
2020-09-28T10:02:04Z
dc.date.issued
2010-04-08
dc.identifier.uri
http://hdl.handle.net/20.500.11850/27529
dc.description.abstract
We study shortfall risk minimization for American options with path dependent payoffs under proportional transaction costs in the Black--Scholes (BS) model. We show that for this case the shortfall risk is a limit of similar terms in an appropriate sequence of binomial models. We also prove that in the continuous time BS model for a given initial capital there exists a portfolio strategy which minimizes the shortfall risk. In the absence of transactions costs (complete markets) similar limit theorems were obtained in Dolinsky and Kifer (2008, 2010) for game options. In the presence of transaction costs the markets are no longer complete and additional machinery required. Shortfall risk minimization for American options under transaction costs was not studied before.
en_US
dc.language.iso
en
en_US
dc.publisher
Cornell University
en_US
dc.subject
American options
en_US
dc.subject
Shortfall risk
en_US
dc.subject
Transaction costs
en_US
dc.title
Limit Theorems for Partial Hedging Under Transaction Costs
en_US
dc.type
Working Paper
ethz.journal.title
arXiv
ethz.pages.start
1004.1576
en_US
ethz.size
19 p.
en_US
ethz.identifier.arxiv
1004.1576
ethz.publication.place
Ithaca, NY
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03844 - Soner, Mete (emeritus) / Soner, Mete (emeritus)
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03844 - Soner, Mete (emeritus) / Soner, Mete (emeritus)
ethz.relation.isPreviousVersionOf
20.500.11850/60803
ethz.date.deposited
2017-06-09T08:28:52Z
ethz.source
ECIT
ethz.identifier.importid
imp59364d7b445c783576
ethz.ecitpid
pub:46371
ethz.eth
yes
en_US
ethz.availability
Metadata only
en_US
ethz.rosetta.installDate
2017-07-19T01:42:13Z
ethz.rosetta.lastUpdated
2021-02-15T17:37:13Z
ethz.rosetta.versionExported
true
ethz.COinS
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