95 citations · 324 across the 10 of their papers we have counts for
4 papers · 1 filter
Portfolio Optimization under Small Transaction Costs: a Convex Duality Approach
Jan Kallsen, Shen Li
We consider an investor with constant absolute risk aversion who trades a risky asset with general Ito dynamics, in the presence of small proportional transaction costs. Kallsen an…
Hedging in Lévy Models and the Time Step Equivalent of Jumps
Aleš Černý, Stephan Denkl, Jan Kallsen
We consider option hedging in a model where the underlying follows an exponential Lévy process. We derive approximations to the variance-optimal and to some suboptimal strategies a…
On a Heath-Jarrow-Morton approach for stock options
Jan Kallsen, Paul Krühner
This paper aims at transferring the philosophy behind Heath-Jarrow-Morton to the modelling of call options with all strikes and maturities. Contrary to the approach by Carmona and…
The General Structure of Optimal Investment and Consumption with Small Transaction Costs
Jan Kallsen, Johannes Muhle-Karbe
We investigate the general structure of optimal investment and consumption with small proportional transaction costs. For a safe asset and a risky asset with general continuous dyn…