Risk preference, option pricing and portfolio hedging with proportional transaction costs (Q1674295)
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scientific article; zbMATH DE number 6802227
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Risk preference, option pricing and portfolio hedging with proportional transaction costs |
scientific article; zbMATH DE number 6802227 |
Statements
Risk preference, option pricing and portfolio hedging with proportional transaction costs (English)
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2 November 2017
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scaling
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option pricing with transaction costs
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Leland's strategy
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risk preference
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implied-volatility-frown
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hedging performance
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0.7617365717887878
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0.7545897960662842
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0.7521360516548157
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0.748384416103363
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0.7480633854866028
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