Risk preference, option pricing and portfolio hedging with proportional transaction costs

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• 作者：Xiao-Tian Wang^a ; ^{15013173446@163.com} ; ^{swa001@126.com} ; Zhe Li^b ; Le Zhuang^c
• 关键词：Scaling ; Option pricing with the transaction costs ; Leland's strategy ; Risk preference ; Implied-volatility-frown ; Hedging performance
• 刊名：Chaos, Solitons & Fractals
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：95
• 期：Complete
• 页码：111-130
• 全文大小：2541 K
• 卷排序：95

文摘

Scaling is a key factor in option pricing. The model is theoretically analyzed and the results are new. Some numerical examples are performed. The implied-volatility-frown is affected by the risk preference and scaling.