Hedging Problem for Asian Call Options with Transaction Costs (Q6112446)
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scientific article; zbMATH DE number 7723257
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Hedging Problem for Asian Call Options with Transaction Costs |
scientific article; zbMATH DE number 7723257 |
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Hedging Problem for Asian Call Options with Transaction Costs (English)
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7 August 2023
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Black-Scholes model
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Asian options
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hedging problem
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transaction cost market
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asymptotic hedging
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Leland strategy
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option pricing
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