Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
type: Item
instance of: scholarly article
title: Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
zbMATH Open document ID: 1466.91349
DOI: 10.1080/13504869400000010
author: Antonio Para'S
author: Marco Avellaneda
published in: Applied Mathematical Finance
publication date: 2021-06-18T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 7360801
zbMATH Keywords: transaction costs
zbMATH Keywords: hedging
zbMATH Keywords: option pricing
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1080/13504869400000010
OpenAlex ID: W2157445050
cites work: DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1
cites work: The pricing of options and corporate liabilities
cites work: Q4794153
cites work: Q3678248
cites work: Q5585820
description: scientific article; zbMATH DE number 7360801