Option Pricing and Hedging with Small Transaction Costs

Mathematical Finance

Volumn 25, Issue 4, 2015, Pages 702-723

  Kallsen, Jan ^a   Muhle Karbe, Johannes ^b  

^a UNIVERSITY OF KIEL   (Germany)

^b SWISS FINANCE INSTITUTE   (Switzerland)

Author keywords

Asymptotics; Exponential utility; Indifference pricing and hedging; Transaction costs

Indexed keywords

EID: 84941261430     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/mafi.12035     Document Type: Article

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