scientific article; zbMATH DE number 1222795

zbMath0947.91038MaRDI QIDQ4218382

Ton Vorst, Fabio Mercurio

Publication date: 12 November 2000

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

zbMATH Keywords

transaction costssuper-replicationlocal risk minimizationrisky hedging

Mathematics Subject Classification ID

Related Items (5)

American contingent claims under small proportional transaction costs ⋮ Risk measure pricing and hedging in the presence of transaction costs ⋮ Options under proportional transaction costs: An algorithmic approach to pricing and hedging ⋮ Option pricing with transaction costs using a Markov chain approximation ⋮ American options under proportional transaction costs: pricing, hedging and stopping algorithms for long and short positions

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