A further study of the choice between two hedging strategies -- the continuous case (Q1739336)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A further study of the choice between two hedging strategies -- the continuous case |
scientific article; zbMATH DE number 7048034
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A further study of the choice between two hedging strategies -- the continuous case |
scientific article; zbMATH DE number 7048034 |
Statements
A further study of the choice between two hedging strategies -- the continuous case (English)
0 references
26 April 2019
0 references
cost of hedging
0 references
continuous-time Markov process
0 references
first hitting time
0 references
Brownian motion with drift
0 references
fixed transaction cost
0 references
non-fixed transaction cost
0 references
0.8772232532501221
0 references
0.7717662453651428
0 references
0.7634906768798828
0 references
0.7632905840873718
0 references
0.7627156972885132
0 references
