Work

Frequent Hedging under Transaction Costs and a Nonlinear Fokker--Planck PDE

Year: 2001

Type: article

Source: SIAM Journal on Applied Mathematics

DOI: 10.1137/s0036139900367206

Author: Peter Grandits

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2052906040

FWCI: 0.562

Cites: 27

Cited by: 16

Related to: 10