Approximate hedging in a local volatility model with proportional transaction costs
Emmanuel Lépinette & Tuan Tran
| Year of publication: |
2014
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|---|---|
| Authors: | Lépinette, Emmanuel ; Tran, Tuan |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 21.2014, 3/4, p. 313-341
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| Subject: | Approximate hedging | transaction costs | local volatility | Leland's strategy | Transaktionskosten | Transaction costs | Hedging | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010499677