An endogenous volatility approach to pricing and hedging call options with transaction costs (Q5397412): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1080/14697688.2011.639794 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2091366702 / rank | |||
Normal rank | |||
Revision as of 00:24, 20 March 2024
scientific article; zbMATH DE number 6260365
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An endogenous volatility approach to pricing and hedging call options with transaction costs |
scientific article; zbMATH DE number 6260365 |
Statements
An endogenous volatility approach to pricing and hedging call options with transaction costs (English)
0 references
20 February 2014
0 references
Black-Scholes model
0 references
hedging errors
0 references
implied volatilities
0 references
option pricing
0 references
