| Naslov: | Reduction of the mean hedging transaction costs |
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| Avtorji: | ID Mastinšek, Miklavž (Avtor) |
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| Datoteke: |  Nase_gospodarstvo_2015_Mastinsek_Reduction_of_the_Mean_Hedging_Transaction_Costs_Redukcija_povprecnih_transakcijskih_stroskov_hedging_t.pdf (662,21 KB)
MD5: 161BC56CC1E21A0B02AD05BE303E1090
 http://www.degruyter.com/view/j/ngoe.2015.61.issue-5/ngoe-2015-0019/ngoe-2015-0019.xml
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| Jezik: | Angleški jezik |
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| Vrsta gradiva: | Znanstveno delo |
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| Tipologija: | 1.01 - Izvirni znanstveni članek |
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| Organizacija: | EPF - Ekonomsko-poslovna fakulteta
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| Opis: | Transaction costs of derivative hedging appear in financial markets. This paper considers the problem of delta hedging and the reduction of expected proportional transaction costs. In the literature the expected approximate proportional transaction costs are customarily estimated by the gamma term, usually the largest term of the associated series expansion. However, when options are to expire in a month or few weeks, other terms may become even larger so that more precise estimates are needed. In this paper, different higher-order estimates of proportional transaction costs are analyzed. The problem of the reduction of expected transaction costs is considered. As a result, a suitably adjusted delta is given, for which the expected approximate proportional transaction costs can be reduced. The order of the mean and the variance of the hedging error can be preserved. Several examples are provided. |
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| Ključne besede: | derivatives, delta hedging, transaction costs, hedging error |
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| Status publikacije: | Objavljeno |
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| Verzija publikacije: | Objavljena publikacija |
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| Leto izida: | 2015 |
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| Št. strani: | str. 23-31 |
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| Številčenje: | Letn. 61, št. 5 |
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| PID: | 20.500.12556/DKUM-65377  |
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| ISSN: | 0547-3101 |
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| UDK: | 336.76:330.43 |
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| COBISS.SI-ID: | 12124700 |
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| DOI: | 10.1515/ngoe-2015-0019 |
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| ISSN pri članku: | 0547-3101 |
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| NUK URN: | URN:SI:UM:DK:AZKP18GI |
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| Datum objave v DKUM: | 03.04.2017 |
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| Število ogledov: | 1276 |
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| Število prenosov: | 184 |
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| Metapodatki: |    |
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| Področja: | Ostalo
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