Optimal Discrete Hedging in Garman-Kohlhagen Model with Liquidity Risk
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Publication:5357776
DOI10.1007/978-3-319-18167-7_33zbMath1371.91177OpenAlexW2294809682MaRDI QIDQ5357776
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Publication date: 12 September 2017
Published in: Advances in Intelligent Systems and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-18167-7_33
Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)
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