Asymptotic replication with modified volatility under small transaction costs
Year of publication: |
April 2016
|
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Authors: | Cai, Jiatu ; Fukasawa, Masaaki |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 20.2016, 2, p. 381-431
|
Subject: | Leland's strategy | Proportional transaction costs | Singular control | Homogenization | Central limit theorem | Theorie | Theory | Transaktionskosten | Transaction costs | Volatilität | Volatility | Portfolio-Management | Portfolio selection |
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