Approximate hedging problem with transaction costs in stochastic volatility markets (Q5283405)
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scientific article; zbMATH DE number 6751208
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| English | Approximate hedging problem with transaction costs in stochastic volatility markets |
scientific article; zbMATH DE number 6751208 |
Statements
APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS (English)
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21 July 2017
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Leland strategy
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transaction costs
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stochastic volatility
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quantile hedging
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approximate hedging
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high-frequency markets
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0.8546010851860046
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0.8496682643890381
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0.8496682643890381
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0.8452881574630737
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0.8344584107398987
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