Options under proportional transaction costs: An algorithmic approach to pricing and hedging

DOI10.1007/s10440-008-9231-5zbMath1170.91013OpenAlexW3124239334MaRDI QIDQ944910

Alet Roux, Krzysztof Tokarz, Zastawniak, Tomasz

Publication date: 10 September 2008

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10440-008-9231-5

zbMATH Keywords

hedgingoption pricingtransaction costs

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items

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Cites Work

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