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...
Main Author: | |
---|---|
Other Authors: | |
Published: |
University of York
2018
|
Subjects: | |
Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.752639 |