Narrow search
Showing 1 - 10 of 58
Cover Image
An asymptotic analysis of an optimal hedging model for option pricing with transaction costs
Whalley, A. E. - In: Mathematical finance : an international journal of … 7 (1997) 3, pp. 307-324
Persistent link: https://www.econbiz.de/10001224009
Cover Image
The valuation of a firm advertising optimally
Epstein, D.; Mayor, N.; Schonbucher, P.; Whalley, A. E.; … - 1999
Persistent link: https://www.econbiz.de/10009581676
Cover Image
Optimal hedging of options with small but arbitrary transaction cost structure
Whalley, A. E.; Wilmott, Paul - 1999
Persistent link: https://www.econbiz.de/10009582836
Cover Image
Hedging Option Portfolios in the Presence of Transaction Costs
Wilmott, Paul - 2019
We derive a nonlinear parabolic partial differential equation for the value of portfolios of options in the presence of proportional transaction costs. This assumes a Leland world of transacting after each time interval, which is of fixed length. The equation reduces to the modified variance...
Persistent link: https://www.econbiz.de/10012746579
Cover Image
How good is Black-Scholes-Merton, really?
Wilmott, Paul - In: Options - 45 years since the publication of the …, (pp. 17-27). 2023
Persistent link: https://www.econbiz.de/10014366584
Cover Image
Paul Wilmott introduces quantitative finance
Wilmott, Paul - 2001
Persistent link: https://www.econbiz.de/10001535237
Cover Image
Uncertainty versus randomness : minimizing model dependence
Wilmott, Paul - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 493-500
Persistent link: https://www.econbiz.de/10001523034
Cover Image
Derivatives : the theory and practice of financial engineering
Wilmott, Paul - 1998
Persistent link: https://www.econbiz.de/10000656983
Cover Image
Basic principles of option pricing
Wilmott, Paul - In: The professional risk managers' guide to finance theory …, (pp. 229-253). 2008
Persistent link: https://www.econbiz.de/10003677843