The Cost of Risk and Option Hedging in Incomplete Markets

V. Minina

doi:10.3990/1.9789036526111

The Cost of Risk and Option Hedging in Incomplete Markets

V. Minina

Research output: Thesis › PhD Thesis - Research UT, graduation UT

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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 language	Undefined
Awarding Institution	University of Twente
Supervisors/Advisors	Vellekoop, M.H., Advisor Bagchi, Arunabha, Supervisor
Thesis sponsors	Dutch Technology Foundation (STW)
Award date	10 Jan 2008
Place of Publication	Enschede
Publisher	STW
Print ISBNs	978-90-365-2611-1
DOIs	https://doi.org/10.3990/1.9789036526111
Publication status	Published - 10 Jan 2008

Keywords

METIS-245940
IR-58406
EWI-11731

Access to Document

10.3990/1.9789036526111

thesis_MininaFinal published version, 588 KB

Cite this

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