The least cost superreplicating portfolio for short puts and calls in the Boyle-Vorst model with transaction costs
Guan-yu Chen; Ken Palmer; Yuan-chung Sheu
| 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 |
| Type of publication: | Article |
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| 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/10003575266