OPTIMAL HEDGING OF DERIVATIVES WITH TRANSACTION COSTS
type: Item
instance of: scholarly article
title: OPTIMAL HEDGING OF DERIVATIVES WITH TRANSACTION COSTS
zbMATH Open document ID: 1140.91373
DOI: 10.1142/S0219024906003901
published in: International Journal of Theoretical and Applied Finance
publication date: 2007-02-08T00:00:00Z
full work available at URL: https://arxiv.org/abs/physics/0509150
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 5123442
zbMATH Keywords: growth optimal criteria
zbMATH Keywords: transaction costs
zbMATH Keywords: Black and Scholes
author: Erik Aurell
author: P. Muratore-Ginanneschi
MaRDI profile type: Publication
arXiv ID: physics/0509150
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description: scientific article