Hedging of option portfolios and options on several assets with transaction costs and nonlinear partial differential equations (Q3512229)
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scientific article; zbMATH DE number 5300279
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| English | Hedging of option portfolios and options on several assets with transaction costs and nonlinear partial differential equations |
scientific article; zbMATH DE number 5300279 |
Statements
11 July 2008
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transaction costs
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finite difference schemes
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Leland's hedging strategy
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Black-Scholes hedging strategy
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0.8312368988990784
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0.8286371827125549
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0.8215849995613098
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0.805475652217865
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0.8054258227348328
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