Conservative Delta hedging under transaction costs
Masaaki Fukasawa
| Year of publication: |
2012
|
|---|---|
| Authors: | Fukasawa, Masaaki |
| Published in: |
Recent advances in financial engineering 2011: proceedings of the International Workshop on Finance 2011. - Singapore : World Scientific, ISBN 981-4407-32-1. - 2012, p. 55-72
|
| Subject: | Mykland conservative delta hedging | Leland's enlarging volatility | Optionsgeschäft | Option trading | Hedging | Transaktionskosten | Transaction costs | Entscheidung unter Unsicherheit | Decision under uncertainty | Black-Scholes-Modell | Black-Scholes model | Portfolio-Management | Portfolio selection | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009573488