Optimal delta-hedging under transactions costs

Journal of Economic Dynamics and Control

Volumn 21, Issue 8-9, 1997, Pages 1353-1376

  Clewlow, Les ^a   Hodges, Stewart ^a  

^a UNIVERSITY OF WARWICK   (United Kingdom)

Author keywords

Computational methods; Hedging; Option pricing; Simulation; Transaction costs

Indexed keywords

EID: 0031590028     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1889(97)00030-4     Document Type: Article

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