Sergey Pergamenschikov to speak on ‘ Approximate Hedging Problem with Transaction Costs in Stochastic Volatility Markets ’ at ILQF Seminar

On October 27, 2014 a research seminar of the International Laboratory of Quantitative Finance will take place at the HSE. Sergey Pergamenschikov (Université de Rouen, France) will speak on ‘Approximate Hedging Problem with Transaction Costs in Stochastic Volatility Markets’.

Abstract

Suggesting a new form for the enlarged volatility, we show that increasing volatility as in Leland's algorithm  can approximately replicate the option payoff even in general stochastic volatility markets with transaction costs. All the existing works in the Leland's spirit can be recovered from our asymptotic results which also enable us to fix the under-hedging property pointed out by Kabanov and Safarian (1997). Possibilities to improve the convergence rate and reduce the option price inclusive transaction costs are also discussed.

Working language: English

Start time: 6.10 pm

Address: 26 Shabolovka Ulitsa, Room 5310.

Everyone interested is welcome.

If you need a pass to the HSE, please contact dhasiyatullina@hse.ru before 12.00, October 27