1 problem

0 votes0 replies0 views
No-trade interval conjecture for log-contract hedging
Let $Y_t$ denote the risky position, let $y_\star$ be the perfect target, and let $y_-<y_\star<y_+$ be boundary levels. Trading incurs transaction costs, and admissible strategies…
Conjectureopenhedging mathematical-finance transaction-costsarXiv posted 2 days ago

No-trade interval conjecture for log-contract hedging