Option hedging for small investors under liquidity costs

DOI10.1007/s00780-009-0116-xzbMath1226.91072OpenAlexW2141791186WikidataQ57635925 ScholiaQ57635925MaRDI QIDQ650751

Umut Çetin, Nizar Touzi, Halil Mete Soner

Publication date: 27 November 2011

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/28992/

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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