VALUATION AND HEDGING OF OPTIONS WITH GENERAL PAYOFF UNDER TRANSACTIONS COSTS

DOI10.4134/JKMS.2004.41.3.513zbMath1070.91026OpenAlexW217081943MaRDI QIDQ4822728

Hyejin Ku, Hyeong In Choi, David C. Heath

Publication date: 25 October 2004

Published in: Journal of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4134/jkms.2004.41.3.513

zbMATH Keywords

gamma decomposition

Mathematics Subject Classification ID

Stochastic processes (60G99) Initial value problems for second-order parabolic equations (35K15)

This page was built for publication: VALUATION AND HEDGING OF OPTIONS WITH GENERAL PAYOFF UNDER TRANSACTIONS COSTS