An asymptotic analysis of an optimal hedging model for option pricing with transaction costs

Mathematical Finance

Volumn 7, Issue 3, 1997, Pages 307-324

  Whalley, A E ^c   Wilmott, Paul ^a,b  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

^b UNIVERSITY OF OXFORD   (United Kingdom)

^c NONE

Author keywords

Asymptotic analysis; Nonlinear diffusion; Option pricing; Transaction costs

Indexed keywords

EID: 0031497150     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00034     Document Type: Article

References (13)

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