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zbMath1144.35404MaRDI QIDQ3512229

Valeri I. Zakamouline

Publication date: 11 July 2008

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

finite difference schemes transaction costs Black-Scholes hedging strategy Leland's hedging strategy

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Applications of stochastic analysis (to PDEs, etc.) (60H30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Mathematical economics (91B99)

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Hedging efficiently under correlation ⋮ THE BEST HEDGING STRATEGY IN THE PRESENCE OF TRANSACTION COSTS

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