Option hedging for small investors under liquidity costs
Year of publication: |
2010
|
---|---|
Authors: | Çetin, Umut ; Soner, H. ; Touzi, Nizar |
Published in: |
Finance and Stochastics. - Springer. - Vol. 14.2010, 3, p. 317-341
|
Publisher: |
Springer |
Subject: | Super-replication | Liquidity cost | Gamma process | Parabolic majorant | PDE valuation |
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