Optimal delta-hedging under transactions costs
type: Item
instance of: scholarly article
title: Optimal delta-hedging under transactions costs
zbMATH Open document ID: 0901.90010
DOI: 10.1016/S0165-1889(97)00030-4
author: Les Clewlow
author: Stewart D. Hodges
publication date: 1998-07-22T00:00:00Z
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 1178021
zbMATH Keywords: option pricing
zbMATH Keywords: hedging
zbMATH Keywords: transaction costs
zbMATH Keywords: computational methods
zbMATH Keywords: simulation
MaRDI profile type: Publication
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published in: Journal of Economic Dynamics and Control
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description: scientific article; zbMATH DE number 1178021