Option pricing and hedging with regret optimisation
This thesis focuses on the option pricing and hedging based on a regret optimisation problem in a discrete-time financial market model with proportional transaction costs. In such model, the no-arbitrage price interval can be very large. Such large interval makes it difficult for an investor to choo...
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University of York
2018
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.752639 |