Hedging Options with Transaction Costs

DOI10.1007/0-387-33815-2_12MaRDI QIDQ5297392zbMATH OpenOpenAlexFDO

Authors W. Suo

Publication date 18 July 2007

Published in International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/0-387-33815-2_12

zbMATH Keywords

HARA type utility functionindirect utility functionoptimal investment problemviscosity solution

Mathematics Subject Classification ID

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Cited in

(3)

• Hedging of American options under transaction costs
• scientific article; zbMATH DE number 5657685 (Why is no real title available?)
• scientific article; zbMATH DE number 7405331 (Why is no real title available?)

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