Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs (Q3437400): Difference between revisions

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+Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach
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+Coherent Measures of Risk
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+Option pricing with transaction costs and a nonlinear Black-Scholes equation
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+The Pricing of Options and Corporate Liabilities
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+Optimal delta-hedging under transactions costs
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+European Option Pricing with Transaction Costs
@@ Property / cites work: European Option Pricing with Transaction Costs / rank @@
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+Simulations of transaction costs and optimal rehedging
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+An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
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+European option pricing and hedging with both fixed and proportional transaction costs
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