APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS (Q5283405)
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scientific article; zbMATH DE number 6751208
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS |
scientific article; zbMATH DE number 6751208 |
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APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS (English)
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21 July 2017
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Leland strategy
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transaction costs
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stochastic volatility
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quantile hedging
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approximate hedging
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high-frequency markets
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