Optimal Discrete Hedging in Garman-Kohlhagen Model with Liquidity Risk (Q5357776)
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scientific article; zbMATH DE number 6774266
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Discrete Hedging in Garman-Kohlhagen Model with Liquidity Risk |
scientific article; zbMATH DE number 6774266 |
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Optimal Discrete Hedging in Garman-Kohlhagen Model with Liquidity Risk (English)
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12 September 2017
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discrete time
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Garman-Kohlhagen model
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liquidity cost
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delta hedging
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