Efficient option replication in the presence of transactions costs

Review of Derivatives Research

Volumn 4, Issue 2, 2000, Pages 107-131

  Martellini, Lionel ^a  

^a UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

Author keywords

Multi scale; Option hedging; Time scale diversification; Transaction costs

Indexed keywords

EID: 20444487025     PISSN: 13806645     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1009632624999     Document Type: Article

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