英文标题：
《Approximate hedging problem with transaction costs in stochastic
volatility markets》
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作者：
Thai Huu Nguyen and Serguei Pergamenshchikov
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最新提交年份：
2015
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英文摘要：
This paper studies the problem of option replication in general stochastic volatility markets with transaction costs, using a new specification for the volatility adjustment in Leland\'s algorithm \\cite{Leland}. We prove several limit theorems for the normalized replication error of Leland\'s strategy, as well as that of the strategy suggested by L\\\'epinette. The asymptotic results obtained not only generalize the existing results, but also enable us to fix the under-hedging property pointed out by Kabanov and Safarian. We also discuss possible methods to improve the convergence rate and to reduce the option price inclusive of transaction costs.
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中文摘要：
本文利用Leland算法中波动率调整的一个新规范\\cite{Leland}，研究了具有交易费用的一般随机波动率市场中的期权复制问题。我们证明了Leland策略的标准化复制误差的几个极限定理，以及Leland提出的策略的标准化复制误差的极限定理。所得的渐近结果不仅推广了已有的结果，而且使我们能够修正Kabanov和Safarian指出的欠套期保值性质。我们还讨论了提高收敛速度和降低包含交易成本的期权价格的可能方法。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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