Risk minimization in the model with transaction costs
Applicationes Mathematicae 30 (2003), 209-216 MSC: 90A12, 90A09, 93E20. DOI: 10.4064/am30-2-5
The problem of hedging a contingent claim with minimization of quadratic risk is studied. Existence of an optimal strategy for the model with proportional transaction cost and nondelayed observation is shown.