Affiliation:
1. UMR 6085 CNRS-Université de Rouen and; University of Economics
2. UMR 6085 CNRS-Université de Rouen and National Research University - Higher School of Economics
Funder
Russian Science Foundation
Tomsk State University
Vietnam Overseas Scholarship Program
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Reference37 articles.
1. Option Replication with Transaction Costs: General Diffusion Limits;Ahn;Ann. Appl. Probab,1998
2. Moment Explosions in Stochastic Volatility Models;Andersen;Finance Stoch,2007
3. Stochastic Volatility Option Pricing;Ball;Finance Quant. Anal,1994
4. Quantile Hedging on Markets with Proportional Transaction Costs;Baran;Appl. Math. Warsaw,2003
5. Barski , M. 2011 Quantile Hedging for Multiple Assets Derivatives http://arxiv.org/abs/1010.5810
Cited by
6 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献