# Hedging under an expected loss constraint with small transaction costs

## Author(s): Bouchard, B; Moreau, L; Soner, H Mete

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DC FieldValueLanguage
dc.contributor.authorBouchard, B-
dc.contributor.authorMoreau, L-
dc.contributor.authorSoner, H Mete-
dc.date.accessioned2021-10-11T14:18:03Z-
dc.date.available2021-10-11T14:18:03Z-
dc.date.issued2016-01-01en_US
dc.identifier.citationBouchard, B, Moreau, L, Mete Soner, H. (2016). Hedging under an expected loss constraint with small transaction costs. SIAM Journal on Financial Mathematics, 7 (1), 508 - 551. doi:10.1137/15M1006787en_US
dc.identifier.urihttp://arks.princeton.edu/ark:/88435/pr17s2p-
dc.description.abstract© 2016 Society for Industrial and Applied Mathematics. We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small transaction costs is used to obtain a tractable model. A general expansion theory is developed using the dynamic programming approach. Explicit formulae are obtained in the special cases of exponential and power utility functions. As a corollary, we retrieve the asymptotics for the exponential utility indifference price.en_US
dc.format.extent508 - 551en_US
dc.language.isoen_USen_US
dc.relation.ispartofSIAM Journal on Financial Mathematicsen_US
dc.rightsAuthor's manuscripten_US
dc.titleHedging under an expected loss constraint with small transaction costsen_US
dc.typeJournal Articleen_US
dc.identifier.doidoi:10.1137/15M1006787-
dc.identifier.eissn1945-497X-
pu.type.symplectichttp://www.symplectic.co.uk/publications/atom-terms/1.0/journal-articleen_US

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