Pages that link to "Item:Q1391437"
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The following pages link to Optimal delta-hedging under transactions costs (Q1391437):
Displaying 27 items.
- Dynamic portfolio optimization with transaction costs and state-dependent drift (Q319244) (← links)
- Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment (Q457188) (← links)
- A numerical method for pricing European options with proportional transaction costs (Q740640) (← links)
- Option pricing with transaction costs using a Markov chain approximation (Q951502) (← links)
- European option pricing and hedging with both fixed and proportional transaction costs (Q956487) (← links)
- Computation of reservation prices of options with proportional transaction costs (Q956510) (← links)
- On reset option pricing in binomial market with both fixed and proportional transaction costs (Q990579) (← links)
- Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs (Q1039367) (← links)
- Option hedging theory under transaction costs (Q1042722) (← links)
- Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach (Q1294549) (← links)
- Option pricing and portfolio hedging under the mixed hedging strategy (Q1618329) (← links)
- Risk preference, option pricing and portfolio hedging with proportional transaction costs (Q1674295) (← links)
- Utility based option evaluation with proportional transaction costs (Q1853219) (← links)
- The optimal rehedging interval for the options portfolio within the RAPM, taking into account transaction costs and liquidity costs (Q2307920) (← links)
- Option pricing under residual risk and imperfect hedging (Q2338861) (← links)
- Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme (Q2403848) (← links)
- A unified approach to portfolio optimization with linear transaction costs (Q2433238) (← links)
- Small transaction cost asymptotics and dynamic hedging (Q2464226) (← links)
- An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs (Q2873539) (← links)
- Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs (Q3437400) (← links)
- Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach (Q3502191) (← links)
- High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost (Q3636736) (← links)
- THE BEST HEDGING STRATEGY IN THE PRESENCE OF TRANSACTION COSTS (Q3648637) (← links)
- WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING (Q4226862) (← links)
- Utility based pricing of contingent claims in incomplete markets (Q4483612) (← links)
- Indifference Pricing in a Market with Transaction Costs and Jumps (Q4626491) (← links)
- PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS (Q5389100) (← links)
