Электронная библиотека (репозиторий) Томского государственного университета
Nguen, Thai Huu

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Add   Approximate hedging with constant proportional transaction costs in financial markets with jumps
Authors: Nguen, Thai Huu | Pergamenshchikov, Serguei M.
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
Add   Approximate hedging problem with transaction costs in stochastic volatility markets
Authors: Nguen, Thai Huu | Pergamenshchikov, Serguei M.
Source: Mathematical finance. 2017. Vol. 7, № 3. P. 832-865
Type: статьи в журналах
Date: 2017
Description: This paper studies the problem of option replication in general stochastic volatility markets with transaction costs, using a new specification for the volatility adjustment in Leland's algorithm. We ... More
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