OPTIMAL HEDGING OF DERIVATIVES WITH TRANSACTION COSTS

DOI10.1142/S0219024906003901zbMath1140.91373arXivphysics/0509150MaRDI QIDQ3421823

Erik Aurell, Paolo Muratore-Ginanneschi

Publication date: 8 February 2007

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/physics/0509150

zbMATH Keywords

transaction costsBlack and Scholesgrowth optimal criteria

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (1)

Solving the Beck and Wieland model with optimal experimentation in \textit{DualPC}

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