RISK MEASURE PRICING AND HEDGING IN THE PRESENCE OF TRANSACTION COSTS

  • Kim, Ju-Hong (Department of Mathematics, Sungshin Women's University)
  • 발행 : 2007.01.31

초록

Recently a risk measure pricing and hedging is replacing a utility-based maximization problem in the literature. In this paper, we treat the optimal problem of risk measure pricing and hedging in the friction market, i.e. in the presence of transaction costs. The risk measure pricing is also verified with the contexts in the literature.

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