The least cost superreplicating portfolio for short puts and calls in the Boyle-Vorst model with transaction costs
Year of publication: |
2007
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Authors: | Chen, Guan-yu ; Palmer, Ken ; Sheu, Yuan-chung |
Published in: |
Advances in quantitative analysis of finance and accounting : a research annual. - River Edge, NJ [u.a.] : World Scientific, ISSN 1061-8910, ZDB-ID 1089104-3. - Vol. 5.2007, p. 1-22
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Subject: | Black-Scholes-Modell | Black-Scholes model | Transaktionskosten | Transaction costs | Portfolio-Management | Portfolio selection |
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