Limit theorems for partial hedging under transaction costs

Keyphrases

• Limit Theorems 100%
• Transaction Costs 100%
• Shortfall Risk 100%
• Partial Hedging 100%
• Black-Scholes Model 50%
• American Options 50%
• Risk Minimization 50%
• Payoff 25%
• Path Dependence 25%
• Binomial Model 25%
• Proportional Transaction Costs 25%
• Initial Capital 25%
• Game Options 25%
• Continuous-time 25%
• Portfolio Strategy 25%
• Complete Markets 25%

Mathematics

• Limit Theorem 100%
• Shortfall 100%
• American Option 50%
• Black-Scholes Model 50%
• Minimizes 25%
• Binomial Model 25%
• Continuous Time 25%
• Initial Capital 25%

Economics, Econometrics and Finance

• Transaction Costs 100%
• Hedging 100%
• Option Trading 40%
• Black-Scholes Model 40%
• Machinery 20%
• Continuous Time 20%