Frequent Hedging under Transaction Costs and a Nonlinear Fokker--Planck PDE

DOI10.1137/S0036139900367206zbMath1006.60043MaRDI QIDQ2783723

Peter Grandits

Publication date: 17 April 2002

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

Fokker-Planck equationhedgingnonlinear partial differential equationstransaction costs

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Nonlinear parabolic equations (35K55)

Related Items (1)

Nonlinearities in Financial Engineering

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