Optimal delta-hedging under transactions costs

Journal of Economic Dynamics and Control ◽

10.1016/s0165-1889(97)00030-4 ◽

1997 ◽

Vol 21 (8-9) ◽

pp. 1353-1376 ◽

Author(s):

Les Clewlow ◽

Stewart Hodges

Keyword(s):

Transactions Costs ◽

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Perceived transactions costs: an explanation of the real estate brokerage

Proceedings of the 21st Annual European Real Estate Society Conference ◽

10.15396/eres2014_26 ◽

2014 ◽

Keyword(s):

Real Estate ◽

Transactions Costs ◽

The Real ◽

The Real Estate ◽

Real Estate Brokerage

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Transactions Costs and Investment Style: An Inter-Exchange Analysis of Institutional Equity Trades

10.2469/dig.v28.n3.323 ◽

1998 ◽

Vol 28 (3) ◽

pp. 54-55

Author(s):

William H. Sackley

Keyword(s):

Transactions Costs ◽

Investment Style

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Transactions Costs and Capital Structure Choice: Evidence from Financially Distressed Firms

10.2469/dig.v27.n4.173 ◽

1997 ◽

Vol 27 (4) ◽

pp. 54-56

Author(s):

David Smith

Keyword(s):

Capital Structure ◽

Transactions Costs ◽

Distressed Firms ◽

Financially Distressed ◽

Structure Choice ◽

Capital Structure Choice

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When you hedge discretely: optimization of the Sharpe ratio for the Delta-hedging strategy under discrete hedging and transaction costs

The Journal of Investment Strategies ◽

10.21314/jois.2013.023 ◽

2013 ◽

Vol 3 (1) ◽

pp. 19-59

Author(s):

Artur Sepp

Keyword(s):

Transaction Costs ◽

Sharpe Ratio ◽

Hedging Strategy ◽

Delta Hedging ◽

Discrete Hedging

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Delta- Hedging Arbitrage, a Strategic Tool for Short-Term Gains, an Exploratory Study using NIFTY Options

SSRN Electronic Journal ◽

10.2139/ssrn.1008792 ◽

2007 ◽

Author(s):

Nurani Ramaswamy Parasuraman

Keyword(s):

Exploratory Study ◽

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Price Momentum in the New Zealand Stock Market: A Proper Accounting for Transactions Costs and Risk

SSRN Electronic Journal ◽

10.2139/ssrn.1346672 ◽

2009 ◽

Author(s):

Sam Trethewey ◽

Timothy Falcon Crack

Keyword(s):

New Zealand ◽

Stock Market ◽

Transactions Costs ◽

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Delta-Hedging and Variance Swap Replication

SSRN Electronic Journal ◽

10.2139/ssrn.3442808 ◽

2019 ◽

Author(s):

Frido Rolloos

Keyword(s):

Variance Swap ◽

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Delta Hedging and Volatility-Price Elasticity: A Two-Step Approach

SSRN Electronic Journal ◽

10.2139/ssrn.3707369 ◽

2020 ◽

Author(s):

Peng Zhu ◽

Kun Xia ◽

Xuewei Yang

Keyword(s):

Price Elasticity ◽

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Liquidity Premia and Transactions Costs

SSRN Electronic Journal ◽

10.2139/ssrn.687602 ◽

2005 ◽

Author(s):

Hong Liu ◽

Bong-Gyu Jang ◽

Hyeng Keun Koo ◽

Mark Loewenstein

Keyword(s):

Transactions Costs ◽

Liquidity Premia

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Delta Hedging IO Securities Backed by Senior Life Settlements

The Journal of Structured Finance ◽

10.3905/jsf.2009.15.2.093 ◽

2009 ◽

Vol 15 (2) ◽

pp. 93-100 ◽

Author(s):

Charles A Stone ◽

Anne Zissu

Keyword(s):

Life Settlements ◽

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