An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs (Q4354434)
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scientific article; zbMATH DE number 1061367
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| English | An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs |
scientific article; zbMATH DE number 1061367 |
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An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs (English)
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18 September 1997
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asymptotic analysis
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nonlinear diffusion
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European options
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rehedging transaction costs
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inhomogeneous diffusion equation
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0.9387955
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0.9242741
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0.91644573
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0.91640264
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0.9141556
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0.9132077
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0.9121693
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0.91159594
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