Work

Optimal hedging of options with small but arbitrary transaction cost structure

Year: 1999

Type: article

Source: European Journal of Applied Mathematics

DOI: 10.1017/s095679259900368x

Authors: A. E. WHALLEY, P. WILMOTT

Institutions: University of Warwick, University of Oxford, Imperial College London

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: Royal Society

OpenAlex ID: W2012299871

FWCI: 2.752

Cites:

Cited by: 28

Related to: 10