Hedging Option Portfolios in the Presence of Transaction Costs

By P. Wilmott, T. Hoggard, A. Whalley. 2000

169 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/a24312a0762e903386899808321b7276b6f2e5b4

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Citations in the corpus

• Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs (2002, unknown): “Related work includes Avellaneda and Paras (1994), Brennan and Schwartz (1979), Figlewski (1989), Grannan and Swindle (1996), Hoggard et al. (1993) and Toft (1996).”
• On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile (2005, background): “[3, 9, 10, 15, 17]) whereas the risk from a volatile portfolio is described by the average value of the variance of the synthesized portfolio.”
• An ETD Crank‐Nicolson method for reaction‐diffusion systems (2012, methodology): “We take the model of Hoggard, Whalley, and Wilmott [11], which is based on Leland [16].”