Hedging of the European option in discrete time under transaction costs depending on time

DOI10.4064/AM37-2-5zbMath1192.91181OpenAlexW2088990022MaRDI QIDQ3561058

Marek Kociński

Publication date: 21 May 2010

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/am37-2-5

zbMATH Keywords

hedgingtransaction costsEuropean optionself-financing strategy

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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