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Approximate hedging in a local volatility model with proportional transaction costs
Lépinette, Emmanuel; Tran, Tuan - In: Applied mathematical finance 21 (2014) 3/4, pp. 313-341
Persistent link: https://www.econbiz.de/10010499677
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Diffusion equations : convergence of the functional scheme derived from the binomial tree with local volatility for non smooth payoff functions
Baptiste, Julien; Lépinette, Emmanuel - In: Applied mathematical finance 25 (2018) 5/6, pp. 511-532
Persistent link: https://www.econbiz.de/10012129179