Option hedging theory under transaction costs (Q1042722)

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Option hedging theory under transaction costs
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    title
    Option hedging theory under transaction costs (English)
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    author
    Tze Leung Lai
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    Tiong Wee Lim
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    publication date
    7 December 2009
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    Mathematics Subject Classification ID
    91G20
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    91G60
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    93E20
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    60G40
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    zbMATH DE Number
    5643245
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    zbMATH Keywords
    option hedging
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    singular stochastic control
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    optimal stopping
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    backward induction
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    transaction costs
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    volatility adjustment
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