Following the framework of Çetin, Jarrow and Protter [4] we study the problem of super-replication in presence of liquidity costs under additional restrictions on the gamma of the hedging strategies in a generalized Black-Scholes economy. We find that the minimal super-replication price is different from the one suggested by the Black-Scholes formula and is the unique viscosity solution of the ...

The success of the Black-Scholes (BS) formula is mainly due to the possibility of synthesizing option prices through a unique parameter, the implied volatility, which is so crucial for traders to be directly quoted in many financial markets. This is because the BS formula allows one to immediately convert a volatility into the price at which the related option can be exchanged. The BS model, ho...

Options can be used to hedge certain risks and achieve the purpose of hedging. Due short time market zinc options, there is few relevant research at present. This paper selects hedging case Henan Yuguang Gold & Lead Co Ltd.’s use options construct a bull call option spread strategy in May 2021 uses analysis method analyze effect Ltd.'s strategy. Analysis unavoidable risks, combined with oth...

Acknowledgments First of all I would like to express my gratitude to my promotor Prof. Arun Bagchi who offered me this PhD position. I thank him for his valuable scientific advice as well as for being very flexible and accommodating in all the practical matters. I would also like to thank my daily supervisor and assistant promotor Michel Vellekoop for his guidance, support and inspiring ideas t...