Local risk-minimization under transaction costs

Mathematics of Operations Research

Volumn 23, Issue 3, 1998, Pages 585-612

  Lamberton, Damien ^a   Pham, Huyên ^a,b   Schweizer, Martin ^c  

^a UNIVERSITÉ GUSTAVE EIFFEL   (France)

^b CREST   (France)

^c TECHNISCHE UNIVERSITÄT BERLIN   (Germany)

Author keywords

Hedging; Locally risk minimizing strategies; Mean variance tradeoff; Option pricing; Transaction costs

Indexed keywords

COSTS; MARKETING; MATHEMATICAL MODELS; RISKS;

LOCAL RISK MINIMIZATION; MEAN VARIANCE TRADE OFF; OPTION PRICING;

OPERATIONS RESEARCH;

EID: 0032131203     PISSN: 0364765X     EISSN: None     Source Type: Journal    
DOI: 10.1287/moor.23.3.585     Document Type: Article

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