Hedging of American options under transaction costs
Year of publication: |
2009
|
---|---|
Authors: | Vallière, D. ; Denis, E. ; Kabanov, Y. |
Published in: |
Finance and Stochastics. - Springer. - Vol. 13.2009, 1, p. 105-119
|
Publisher: |
Springer |
Subject: | Transaction costs | American option | Hedging | Coherent price system |
-
Essays on derivatives pricing in incomplete markets
Gerer, Johannes, (2016)
-
Limit theorems for partial hedging under transaction costs
Dolinsky, Yan, (2014)
-
Mean square error for the Leland-Lott hedging strategy
Gamys, Moussa, (2009)
- More ...
-
Hedging of American options under transaction costs
De Vallière, D., (2009)
-
Mean square error for the Leland-Lott hedging strategy : convex pay-offs
Denis, Emmanuel, (2010)
-
Denis, Emmanuel, (2011)
- More ...