An endogenous volatility approach to pricing and hedging call options with transaction costs
From MaRDI portal
Publication:5397412
DOI10.1080/14697688.2011.639794zbMath1281.91168MaRDI QIDQ5397412
Yonggan Zhao, William T. Ziemba, Leonard C. MacLean
Publication date: 20 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2011.639794
91G20: Derivative securities (option pricing, hedging, etc.)