Optimal hedging of options with small but arbitrary transaction cost structure

DOI10.1017/S095679259900368XzbMath1028.91552OpenAlexW3121699258MaRDI QIDQ4248038

A. Elizabeth Whalley, Paul Wilmott

Publication date: 3 June 1999

Published in: European Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s095679259900368x

Mathematics Subject Classification ID

Stochastic systems in control theory (general) (93E03)

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