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摘要翻译：
在Black-Scholes(BS)模型中，研究了比例交易费用下具有路径依赖收益的美式期权的缺口风险最小化问题。我们证明了在这种情况下，短缺风险是在一个适当的二项式模型序列中相似项的极限。我们还证明了在给定初始资本的连续时间BS模型中，存在一个使短缺风险最小的投资组合策略。在没有交易费用（完全市场）的情况下，Dolinsky和Kifer(2008，2010)对博弈期权也得到了类似的极限定理。在存在交易成本的情况下，市场不再是完整的，需要额外的机制。交易费用下美式期权的缺口风险最小化问题以前没有研究过。
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英文标题：
《Limit Theorems for Partial Hedging Under Transaction Costs》
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作者：
Yan Dolinsky
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最新提交年份：
2010
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
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.
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PDF链接：
https://arxiv.org/pdf/1004.1576
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