Mean-variance hedging for pricing European-type contingent claims with transaction costs.

DOI10.1007/s10114-003-0259-1zbMath1076.91018OpenAlexW2329161902MaRDI QIDQ1421067

Dao Bai Liu

Publication date: 2003

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-003-0259-1

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (1)

The maximum principle for one kind of stochastic optimization problem and application in dynamic measure of risk

Cites Work

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• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• European Option Pricing with Transaction Costs

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