Asymptotic replication with modified volatility under small transaction costs
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00780-016-0294-2.pdf
Reference23 articles.
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3. Bichuch, M.: Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment. Finance Stoch. 18, 651–694 (2014)
4. Davis, M., Panas, V.G., Zariphopoulou, T.: European option pricing with transaction costs. SIAM J. Control Optim. 31, 470–493 (1993)
5. Denis, E., Kabanov, Y.: Mean square error for the Leland–Lott hedging strategy: convex pay-offs. Finance Stoch. 14, 625–667 (2010)
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