Hou, Songyan; Krabichler, Thomas; Wunsch, Marcus - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-5
approach better accommodate the realistic setting of hedging in discrete time, it also allows for the inclusion of transaction … costs as well as general market dynamics. It needs to be noted that, without further modifications, the approach works only …