Hedging under an expected loss constraint with small transaction costs

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Author
Bouchard, Bruno
Moreau, Ludovic
Soner, Metecc
Date
2016-07
Type
    Journal Article
Publication status
published
External links
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Journal / series
SIAM Journal on Financial Mathematics
Volume
7(1)
Pages / Article No.
508 - 551
Publisher
SIAM
Subject
Expected loss constraint; Hedging; Transaction cost; Asymptotic expansion
Organisational unit
03844 - Soner, Mete (emeritus) / Soner, Mete (emeritus)  
Notes
Also published by: http://arxiv.org/abs/1309.4916.
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Citations
Cited 3 times in Web of Science
ETH Bibliography
yes
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