Approximate hedging problem with transaction costs in stochastic volatility markets
Thai Huu Nguyen, Serguei Pergamenshchikov
| Year of publication: |
July 2017
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| Authors: | Thai Huu Nguyen ; Pergamenshchikov, Serguei |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 27.2017, 3, p. 832-865
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| Subject: | Leland strategy | transaction costs | stochastic volatility | quantile hedging | approximate hedging | high-frequency markets | Hedging | Transaktionskosten | Transaction costs | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12094 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011764979