Option hedging theory under transaction costs
10.1016/j.jedc.2009.04.007
Saved in:
Main Authors: | Lai, T.L., Lim, T.W. |
---|---|
Other Authors: | STATISTICS & APPLIED PROBABILITY |
Format: | Article |
Published: |
2014
|
Subjects: | |
Online Access: | http://scholarbank.nus.edu.sg/handle/10635/105290 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | National University of Singapore |
Similar Items
-
A radial basis function approach to pricing and hedging options incorporating transaction costs
by: TING JEUM NGIT
Published: (2010) -
Continuous-Time Finite-Horizon Optimal Investment and Consumption Problems with Proportional Transaction Costs
by: ZHAO KUN
Published: (2011) -
Valuation and optimal lapsation of protected variable annuities
by: FLORENCE BOUTEMY
Published: (2010) -
Stochastic optimal control for financial portfolio with transaction costs
by: CHUONG PIERRE
Published: (2010) -
Inflation - Linked Option Pricing: A Market Model Approach wtih Stochastic Volatility
by: LIANG LIFEI
Published: (2011)