European option pricing and hedging with both fixed and proportional transaction costs (Q956487)
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scientific article; zbMATH DE number 5373133
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | European option pricing and hedging with both fixed and proportional transaction costs |
scientific article; zbMATH DE number 5373133 |
Statements
European option pricing and hedging with both fixed and proportional transaction costs (English)
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25 November 2008
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option pricing
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option hedging
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transaction costs
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stochastic impulse control
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Markov chain approximation
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