Dynamic hedging portfolios for derivative securities in the presence of large transaction costs

Business & Economics

• Transaction Costs 100%
• Dynamic Hedging 99%
• Derivative Securities 95%
• Hedging Strategies 59%
• Hedging 31%
• Delta Hedging 25%
• Black-Scholes 20%
• Assets 20%
• Time Lag 19%
• Closed-form Solution 19%
• Continuous Time 17%
• Price Changes 16%

Mathematics

• Transaction Costs 98%
• Hedging 90%
• Strategy 49%
• Derivative 43%
• Obstacle Problem 22%
• Volatility 22%
• Black-Scholes 13%
• Time Lag 12%
• Transactions 12%
• Closed-form Solution 10%
• Adjustment 9%
• Diffusion equation 9%
• Continuous Time 8%
• Nonlinear Problem 8%
• Calculate 7%
• Interval 5%

Engineering & Materials Science

• Derivatives 57%
• Costs 26%