Option replication with transaction costs: general diffusion limits
type: Item
instance of: scholarly article
title: Option replication with transaction costs: general diffusion limits
zbMATH Open document ID: 0934.91024
author: Hyungsok Ahn
author: Mohit Dayal
author: E. R. Grannan
author: G. H. Swindle
published in: The Annals of Applied Probability
publication date: 1999-11-23T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60G44
zbMATH DE Number: 1319829
zbMATH Keywords: transaction costs
zbMATH Keywords: hedging strategies
zbMATH Keywords: diffusion limits
zbMATH Keywords: replication errors
zbMATH Keywords: stock price strategies
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aoap/1028903447
OpenAlex ID: W2031097536
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DOI: 10.1214/AOAP/1028903447
description: scientific article; zbMATH DE number 1319829