Optimal trading strategy for European options with transaction costs.
type: Item
instance of: scholarly article
title: Optimal trading strategy for European options with transaction costs.
zbMATH Open document ID: 1127.91339
DOI: 10.1016/S0001-8708(02)00035-X
author: Alan F. Ho
published in: Advances in Mathematics
publication date: 2003-07-30T00:00:00Z
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 1957032
zbMATH Keywords: financial mathematics
MaRDI profile type: Publication
cites work: HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12
cites work: Portfolio Selection with Transaction Costs
cites work: The writing price of a European contingent claim under proportional transaction costs
cites work: European Option Pricing with Transaction Costs
cites work: Q5624436
cites work: Q4794126
cites work: On Leland's strategy of option pricing with transactions costs
cites work: On the possibility of hedging options in the presence of transaction costs
cites work: Optimal investment and consumption with transaction costs
cites work: An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
cites work: Optimal hedging of options with small but arbitrary transaction cost structure
full work available at URL: s0001-8708(02)00035-x
OpenAlex ID: W2056196328
description: scientific article; zbMATH DE number 1957032