An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs (Q4354434)
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scientific article; zbMATH DE number 1061367
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs |
scientific article; zbMATH DE number 1061367 |
Statements
An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs (English)
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18 September 1997
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asymptotic analysis
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nonlinear diffusion
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European options
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rehedging transaction costs
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inhomogeneous diffusion equation
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