发帖
雷达卡
存在交易成本时的最优动态保值策略， Dynamically optimal hedging strategy in the presence of transaction costs，Matej Maceáš，2004，71页，全英文
Table of Contents
1 Introduction 5
2 Utility function 6
3 Formulation of the problem 8
4 Dynamic optimisation 11
5 Numerical implementation 16
6 Results for 􀁄 = 1 21
7 General values of 􀁄 25
8 Comparison with the Black-Scholes delta hedge 32
9 Optimisation of investor’s utility 39
10 Relationship between the generalised Sharpe ratio, transaction costs
and the option price premium 50
11 Conclusion 68
Bibliography 70
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