Option hedging theory under transaction costs

10.1016/j.jedc.2009.04.007

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Bibliographic Details
Main Authors:	Lai, T.L., Lim, T.W.
Other Authors:	STATISTICS & APPLIED PROBABILITY
Format:	Article
Published:	2014
Subjects:	Backward induction Optimal stopping Option hedging Singular stochastic control Transaction costs Volatility adjustment
Online Access:	http://scholarbank.nus.edu.sg/handle/10635/105290
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Institution:	National University of Singapore

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spelling	sg-nus-scholar.10635-1052902023-10-30T22:06:21Z Option hedging theory under transaction costs Lai, T.L. Lim, T.W. STATISTICS & APPLIED PROBABILITY Backward induction Optimal stopping Option hedging Singular stochastic control Transaction costs Volatility adjustment 10.1016/j.jedc.2009.04.007 Journal of Economic Dynamics and Control 33 12 1945-1961 JEDCD 2014-10-28T05:14:11Z 2014-10-28T05:14:11Z 2009-12 Article Lai, T.L., Lim, T.W. (2009-12). Option hedging theory under transaction costs. Journal of Economic Dynamics and Control 33 (12) : 1945-1961. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jedc.2009.04.007 01651889 http://scholarbank.nus.edu.sg/handle/10635/105290 000272262500001 Scopus
institution	National University of Singapore
building	NUS Library
continent	Asia
country	Singapore Singapore
content_provider	NUS Library
collection	ScholarBank@NUS
topic	Backward induction Optimal stopping Option hedging Singular stochastic control Transaction costs Volatility adjustment
spellingShingle	Backward induction Optimal stopping Option hedging Singular stochastic control Transaction costs Volatility adjustment Lai, T.L. Lim, T.W. Option hedging theory under transaction costs
description	10.1016/j.jedc.2009.04.007
author2	STATISTICS & APPLIED PROBABILITY
author_facet	STATISTICS & APPLIED PROBABILITY Lai, T.L. Lim, T.W.
format	Article
author	Lai, T.L. Lim, T.W.
author_sort	Lai, T.L.
title	Option hedging theory under transaction costs
title_short	Option hedging theory under transaction costs
title_full	Option hedging theory under transaction costs
title_fullStr	Option hedging theory under transaction costs
title_full_unstemmed	Option hedging theory under transaction costs
title_sort	option hedging theory under transaction costs
publishDate	2014
url	http://scholarbank.nus.edu.sg/handle/10635/105290
_version_	1781788027287240704

Option hedging theory under transaction costs

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