Publication date
December 2009
DOI Publisher
Elsevier BV ISSN
0165-1889 Citation count (estimate)
8Abstract
10.1016/j.jedc.2009.04.007Journal of Economic Dynamics and Control33121945-1961JEDC
10.1016/j.jedc.2009.04.007Journal of Economic Dynamics and Control33121945-1961JEDC
In this paper we consider the problem of hedging options in the presence of cost in trading the unde...
In this paper we extend the utility based option pricing and hedging approach, pioneered by Hodges a...
In this paper we extend the utility based option pricing and hedging approach, pioneered by Hodges a...
SIGLEAvailable from British Library Document Supply Centre-DSC:q96/20623 / BLDSC - British Library D...
SIGLEAvailable from British Library Document Supply Centre-DSC:DX194378 / BLDSC - British Library Do...
The problem of option hedging in the presence of proportional transaction costs can be formulated as...
This thesis explores how transaction costs affect the optimality of hedging when using Black-Scholes...
© 2017 Dr Vicky Siew See ChowSubstantial progress has been made in developing option hedging models ...
47This paper investigates the problem of hedging European call options using Leland's strategy in st...
47This paper investigates the problem of hedging European call options using Leland's strategy in st...
43This paper investigates the problem of hedging European call options using Leland's strategy in st...
43This paper investigates the problem of hedging European call options using Leland's strategy in st...
This study uses asymptotic analysis to derive optimal hedging strategies for option portfolios hedge...
One of the most successful approaches to option hedging with transaction costs is the utility-based ...
The limiting hedging error of Leland's strategy for the approximate pricing of a European call ...
In this paper we consider the problem of hedging options in the presence of cost in trading the unde...
In this paper we extend the utility based option pricing and hedging approach, pioneered by Hodges a...
In this paper we extend the utility based option pricing and hedging approach, pioneered by Hodges a...
SIGLEAvailable from British Library Document Supply Centre-DSC:q96/20623 / BLDSC - British Library D...
SIGLEAvailable from British Library Document Supply Centre-DSC:DX194378 / BLDSC - British Library Do...
The problem of option hedging in the presence of proportional transaction costs can be formulated as...
This thesis explores how transaction costs affect the optimality of hedging when using Black-Scholes...
© 2017 Dr Vicky Siew See ChowSubstantial progress has been made in developing option hedging models ...
47This paper investigates the problem of hedging European call options using Leland's strategy in st...
47This paper investigates the problem of hedging European call options using Leland's strategy in st...
43This paper investigates the problem of hedging European call options using Leland's strategy in st...
43This paper investigates the problem of hedging European call options using Leland's strategy in st...
This study uses asymptotic analysis to derive optimal hedging strategies for option portfolios hedge...
One of the most successful approaches to option hedging with transaction costs is the utility-based ...
The limiting hedging error of Leland's strategy for the approximate pricing of a European call ...
In this paper we consider the problem of hedging options in the presence of cost in trading the unde...
In this paper we extend the utility based option pricing and hedging approach, pioneered by Hodges a...
In this paper we extend the utility based option pricing and hedging approach, pioneered by Hodges a...
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