Geodesic
Risk minimization in the model with transaction costs
Michał Motoczyński1
1 Risk Management Department Kredyt Bank S.A. Kasprzaka 2/8 01-211 Warszawa, Poland
Applicationes Mathematicae, Tome 30 (2003) no. 2, pp. 209-216 Cet article a éte moissonné depuis la source Institute of Mathematics Polish Academy of Sciences

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The problem of hedging a contingent claim with minimization of quadratic risk is studied. Existence of an optimal strategy for the model with proportional transaction cost and nondelayed observation is shown.
DOI : 10.4064/am30-2-5
Keywords: problem hedging contingent claim minimization quadratic risk studied existence optimal strategy model proportional transaction cost nondelayed observation shown

Michał Motoczyński 1

1 Risk Management Department Kredyt Bank S.A. Kasprzaka 2/8 01-211 Warszawa, Poland 
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Michał Motoczyński. Risk minimization in
  the model with transaction costs. Applicationes Mathematicae, Tome 30 (2003) no. 2, pp. 209-216. doi: 10.4064/am30-2-5

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