Approximate hedging with proportional transaction costs in stochastic volatility models with jumps

摘要: We study the problem of option replication under constant proportional transaction costs in models where stochastic volatility and jumps are combined to capture market's important features. Assuming some mild condition on jump size distribution we show that can be approximately compensated by applying Leland adjusting principle asymptotic property hedging error due discrete readjustments is characterized. In particular, risk eliminated results established continuous diffusion recovered. The also confirms for case trading cost rate, approximate Kabanov Safarian (1997)and Pergamenschikov (2003) still valid jump-diffusion with deterministic using classical parameter (1986).