Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps (Q5120710)
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scientific article; zbMATH DE number 7247825
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| English | Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps |
scientific article; zbMATH DE number 7247825 |
Statements
Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps (English)
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16 September 2020
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transaction costs
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Leland strategy
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jump models
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stochastic volatility
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approximate hedging
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limit theorem
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super-hedging
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quantile hedging
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0.87834746
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0.8759665
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0.87435395
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0.87370896
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0.8692648
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0.8606643
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0.85232747
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0.8473588
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