Frequent hedging under transaction costs and a nonlinear Fokker-Planck PDE (Q2783723)
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scientific article; zbMATH DE number 1730700
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Frequent hedging under transaction costs and a nonlinear Fokker-Planck PDE |
scientific article; zbMATH DE number 1730700 |
Statements
17 April 2002
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hedging
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Fokker-Planck equation
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nonlinear partial differential equations
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transaction costs
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Frequent hedging under transaction costs and a nonlinear Fokker-Planck PDE (English)
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It is shown that in the limiting case (frequent hegding) a commonly used model for hegding an option is governed by a nonlinear Fokker-Planck equation. This equation is investigated in detail and care is taken to interpret rigorous mathematical results within the hedging model.
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