Discrete Option Hedging Strategies in the Presence of Transaction Costs
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    Abstract:

    Assuming transaction costs, the closer continuous rebalancing of the hedge portfolio is approximated, the more expensive it becomes to maintain the hedge, so discrete option hedging is often used in practice This paper discusses three types of discrete hedging strategies: time-based, move-based and utility-based hedging strategy, and compares their advantage and disadvantage

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唐勇,陈继祥.存在交易成本的间断性权证避险策略研究[J].重庆大学学报社会科学版,2008,14(2):27~30

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