This page is only showing items within the active collection. You can remove the filter by clicking
here.
Add to Quick Collection
All 2 Results
Showing items 1 - 2 of 2.
Add All Items to Quick Collection
Source: Theory of probability and its applications. 2023. Vol. 68, № 2. P. 211-230
Type: статьи в журналах
Date: 2023
Description:
In this paper, we develop asymptotic Asian option hedging methods for the Black--Scholes markets with transaction costs. We first construct classical replication strategies and then, using the Leland
... More
Source: Theory of probability and its applications. 2020. Vol. 65, № 2. P. 224-248
Type: статьи в журналах
Date: 2020
Description:
We study a problem of option replication under constant proportional transaction costs in models where stochastic volatility and jumps are combined to capture the market's important features. Assuming
... More