Variance Optimal Hedging in the Black-Scholes Model for a given Number of Transactions

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HAL Id: inria-00072895

https://hal.inria.fr/inria-00072895

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Variance Optimal Hedging in the Black-Scholes Model for a given Number of Transactions

Claude Martini, Christophe Patry

To cite this version:

Claude Martini, Christophe Patry. Variance Optimal Hedging in the Black-Scholes Model for a given Number of Transactions. [Research Report] RR-3767, INRIA. 1999. �inria-00072895�

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a p p o r t

d e r e c h e r c h e

INSTITUT NATIONAL DE RECHERCHE EN INFORMATIQUE ET EN AUTOMATIQUE

Variance Optimal Hedging in the Black-Scholes Model for a given Number of Transactions.

Claude Martini, Christophe Patry

No 3767

September 10, 1999

TH `EME 4

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