Analytic formula for option margin with liquidity costs under dynamic delta hedging
Year of publication: |
2021
|
---|---|
Authors: | Lee, Kyungsub ; Seo, Byoung Ki |
Subject: | delta hedging | European option | limit order | Liquidity cost | quadratic variation | Hedging | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model | Liquidität | Liquidity |
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