OPTIMAL HEDGING OF DERIVATIVES WITH TRANSACTION COSTS
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Publication:3421823
DOI10.1142/S0219024906003901zbMath1140.91373arXivphysics/0509150MaRDI QIDQ3421823
Erik Aurell, Paolo Muratore-Ginanneschi
Publication date: 8 February 2007
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/physics/0509150
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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