Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs (Q4586034)
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scientific article; zbMATH DE number 6934896
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| English | Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs |
scientific article; zbMATH DE number 6934896 |
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Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs (English)
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11 September 2018
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approximate hedging
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transaction costs
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local volatility
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Leland's strategy
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0.93255115
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0.92475617
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0.9132769
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0.89311844
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0.8910318
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0.8907046
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0.8896936
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0.8896046
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0.8811211
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