Dynamic Hedging Under Jump Diffusion with Transaction Costs
| Year of publication: |
2009
|
|---|---|
| Authors: | Kennedy, J.S. ; Forsyth, P.A. ; Vetzal, K.R. |
| Published in: |
Operations research : the journal of the Operations Research Society of America. - Linthicum, Md : INFORMS, ISSN 0030-364X, ZDB-ID 1233890. - Vol. 57.2009, 3, p. 541-559
|