Option pricing and portfolio hedging under the mixed hedging strategy
type: Item
instance of: scholarly article
title: Option pricing and portfolio hedging under the mixed hedging strategy
zbMATH Open document ID: 1400.91620
author: Xiao-Tian Wang
author: Zhong-Feng Zhao
author: Xiao-Fen Fang
published in: Physica A
publication date: 2018-11-13T00:00:00Z
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6977008
zbMATH Keywords: residual risk
zbMATH Keywords: scaling
zbMATH Keywords: option pricing
zbMATH Keywords: portfolio hedging
zbMATH Keywords: trade frequency
zbMATH Keywords: mixed hedging strategy
MaRDI profile type: Publication
full work available at URL: j.physa.2015.01.021
OpenAlex ID: W1965379918
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cites work: Discrete-time delta hedging and the Black-Scholes model with transaction costs
cites work: Delta hedging strategies comparison
cites work: Optimal delta-hedging under transactions costs
DOI: 10.1016/J.PHYSA.2015.01.021
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description: scientific article; zbMATH DE number 6977008