Optimal discrete hedging in Garman-Kohlhagen model with liquidity risk (Q5357776)
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scientific article; zbMATH DE number 6774266
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| English | Optimal discrete hedging in Garman-Kohlhagen model with liquidity risk |
scientific article; zbMATH DE number 6774266 |
Statements
Optimal Discrete Hedging in Garman-Kohlhagen Model with Liquidity Risk (English)
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12 September 2017
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discrete time
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Garman-Kohlhagen model
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liquidity cost
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delta hedging
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0.9030604362487792
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0.8160778284072876
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0.7949973940849304
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0.7894964814186096
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0.7850120067596436
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