Work

Hedging options under transaction costs and stochastic volatility

Year: 2003

Type: article

Source: Journal of Economic Dynamics and Control

DOI: 10.1016/s0165-1889(02)00054-4

Authors: Jacek Gondzio, Roy Kouwenberg, Ton Vorst

Institutions: University of Edinburgh, Aegon (Netherlands), Erasmus University Rotterdam

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2092887155

FWCI: 3.302

Cites: 43

Cited by: 33

Related to: 10