EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES
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Publication:3444860
DOI10.1142/S021902490700407XzbMath1291.91203arXivmath/0604117OpenAlexW1953112041MaRDI QIDQ3444860
A. Y. Chmakova, Ljudmila A. Bordag
Publication date: 5 June 2007
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0604117
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
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Cites Work
- Hedging in incomplete markets with HARA utility
- Risk Minimization with Incomplete Information in a Model for High-Frequency Data
- Market Volatility and Feedback Effects from Dynamic Hedging
- Optimal hedging of options with small but arbitrary transaction cost structure
- An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
- General Black-Scholes models accounting for increased market volatility from hedging strategies
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