Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs (Q3437400): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 11:16, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs |
scientific article |
Statements
Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs (English)
0 references
9 May 2007
0 references
option hedging
0 references
transaction costs
0 references
approximation methods
0 references
simulations
0 references
