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Hedging Problem for Asian Call Options with Transaction Costs - MaRDI portal

Hedging Problem for Asian Call Options with Transaction Costs (Q6112446)

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scientific article; zbMATH DE number 7723257
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Hedging Problem for Asian Call Options with Transaction Costs
scientific article; zbMATH DE number 7723257

    Statements

    title
    Hedging Problem for Asian Call Options with Transaction Costs (English)
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    publication date
    7 August 2023
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    zbMATH Keywords
    Black-Scholes model
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    Asian options
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    hedging problem
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    transaction cost market
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    asymptotic hedging
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    Leland strategy
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    option pricing
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    Identifiers

    zbMATH DE Number
    7723257
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