Approximate hedging for nonlinear transaction costs on the volume of traded assets
Romuald Elie, Emmanuel Lépinette
| Year of publication: |
July 2015
|
|---|---|
| Authors: | Elie, Romuald ; Lépinette, Emmanuel |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 19.2015, 3, p. 541-581
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| Subject: | Leland-Lott strategy | Delta hedging | Malliavin calculus | Transaction costs | Order book | Transaktionskosten | Hedging | Portfolio-Management | Portfolio selection | Derivat | Derivative | Black-Scholes-Modell | Black-Scholes model | Wertpapierhandel | Securities trading | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-015-0262-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011418291