| dc.contributor.author | Nitschke, Matthew Cody | |
| dc.description.abstract | Closely following the results of Lamberton, Pham, and Schweizer [5] we construct
a locally risk-minimizing strategy in a general incomplete market including transactiou
costs. This is done in dbcrete time under the assurnptious of a bounded meanvariance
tracleoff and substantial risk. Once we establbh all the required integrability
conditions, a backward induction argument is implemented to obtain the desired
strategy for every square-integrable contingent claim. \Ve model the trnusactiou costs
as an adapted stochastic process aud provide all necessary proofs in detail. | en_US |
| dc.publisher | North Dakota State University | en_US |
| dc.rights | NDSU policy 190.6.2 | en_US |
| dc.title | Local Risk Minimization Under Time-Varying Transaction Costs | en_US |
| dc.type | Thesis | en_US |
| dc.date.accessioned | 2024-02-09T16:23:46Z | |
| dc.date.available | 2024-02-09T16:23:46Z | |
| dc.date.issued | 2010 | |
| dc.identifier.uri | https://hdl.handle.net/10365/33654 | |
| dc.subject.lcsh | Options (Finance) -- Mathematical models. | en_US |
| dc.subject.lcsh | Options (Finance) -- Prices -- Mathematical models. | en_US |
| dc.subject.lcsh | Hedging (Finance) -- Mathematical models. | en_US |
| dc.rights.uri | https://www.ndsu.edu/fileadmin/policy/190.pdf | en_US |
| ndsu.degree | Master of Science (MS) | en_US |
| ndsu.college | Human Sciences and Education | en_US |
| ndsu.department | Mathematics | en_US |
| ndsu.program | Mathematics | en_US |
| ndsu.advisor | Barabanov, Nikita | |
