Learn More
This paper examines the problem of delta-hedging portfolios of options under transactions costs by maximising expected utility (or minimising a loss function on the replica-tion error). We extend the work of Hodges and Neuberger (1989) to study the optimal strategy under a general cost function with fixed and proportional costs. A computational procedure(More)
The stochastic or random nature of commodity prices plays a central role in models for valuing financial contingent claims on commodities. In this paper, by enhancing a multi factor framework which is consistent not only with the market observable forward price curve but also the volatilities and correlations of forward prices, we propose a two factor(More)
  • 1