Option hedging theory under transaction costs
type: Item
instance of: scholarly article
title: Option hedging theory under transaction costs
zbMATH Open document ID: 1182.91179
author: Tze Leung Lai
author: Tiong Wee Lim
publication date: 2009-12-07T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60G40
zbMATH DE Number: 5643245
zbMATH Keywords: option hedging
zbMATH Keywords: singular stochastic control
zbMATH Keywords: optimal stopping
zbMATH Keywords: backward induction
zbMATH Keywords: transaction costs
zbMATH Keywords: volatility adjustment
MaRDI profile type: Publication
full work available at URL: j.jedc.2009.04.007
OpenAlex ID: W2058187657
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DOI: 10.1016/J.JEDC.2009.04.007
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 5643245