Bentahar, Imen; Bouchard, Bruno - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005
-freely exchangeable assets is kept constant over
time.
Key words: Transaction costs, hedging options, viscosity solutions.
AMS 1991 …, A.V. (1997), \On the possibility of hedging options
in the presence of transaction costs", Annals of Applied Probability …