A new computational tool for analysing dynamic hedging under transaction costs
Year of publication: |
2008
|
---|---|
Authors: | Primbs, James ; Yamada, Yuji |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 8.2008, 4, p. 405-413
|
Publisher: |
Taylor & Francis Journals |
Subject: | Applied mathematical finance | Arbitrage pricing | Asset pricing | Black-Scholes model | Control and optimization | Control of stochastic systems | Derivatives hedging | Derivatives analysis |
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