Option hedging theory under transaction costs

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

Internet

http://scholarbank.nus.edu.sg/handle/10635/105290

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