The Cost of Risk and Option Hedging in Incomplete Markets

V. Minina

    Research output: ThesisPhD Thesis - Research UT, graduation UT

    131 Downloads (Pure)

    Abstract

    In practice the hedging process does not satisfy the assumptions of the Black-Scholes model. Traders do not hedge continuously because of transaction costs and time constraints and often do not choose low risk over a high but risky profit. The goal of this thesis is to construct a model reflecting these aspects of option hedging in real life.
    Original languageUndefined
    Awarding Institution
    • University of Twente
    Supervisors/Advisors
    • Vellekoop, M.H., Advisor
    • Bagchi, Arunabha, Supervisor
    Thesis sponsors
    Award date10 Jan 2008
    Place of PublicationEnschede
    Publisher
    Print ISBNs978-90-365-2611-1
    DOIs
    Publication statusPublished - 10 Jan 2008

    Keywords

    • METIS-245940
    • IR-58406
    • EWI-11731

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