Approximate hedging for nonlinear transaction costs on the volume of traded assets
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Publication:2516769
DOI10.1007/s00780-015-0262-2zbMath1403.91337OpenAlexW2144036222MaRDI QIDQ2516769
Romuald Elie, Emmanuel Lépinette
Publication date: 4 August 2015
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-015-0262-2
Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (2)
Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps ⋮ Super-replication with fixed transaction costs
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