An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
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Publication:4354434
DOI10.1111/1467-9965.00034zbMath0885.90019OpenAlexW2114971059MaRDI QIDQ4354434
Paul Wilmott, A. Elizabeth Whalley
Publication date: 18 September 1997
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00034
asymptotic analysisnonlinear diffusionEuropean optionsinhomogeneous diffusion equationrehedging transaction costs
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