Simulations of transaction costs and optimal rehedging (Q4845149)
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scientific article; zbMATH DE number 792640
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Simulations of transaction costs and optimal rehedging |
scientific article; zbMATH DE number 792640 |
Statements
Simulations of transaction costs and optimal rehedging (English)
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5 March 1996
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hedging options
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proportional transaction costs
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Black-Scholes environment
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Monte Carlo simulations
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0.8432812094688416
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0.8375638723373413
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0.8232897520065308
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0.8158320784568787
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