2 papers
q-fin.RM2021
Option Pricing Model with Transaction Costs
F. G. Bellora, G. Mazzei, M. Maurette
The author presents alternatives to the Black-Scholes european call option pricing model by incorporating different transaction cost structures in the replicating strategy. In part…
q-fin.RM2021
Delta Hedging with Transaction Costs: Dynamic Multiscale Strategy using Neural Nets
G. Mazzei, F. G. Bellora, J. A. Serur
In most real scenarios the construction of a risk-neutral portfolio must be performed in discrete time and with transaction costs. Two human imposed constraints are the risk-aversi…