Hedging under an expected loss constraint with small transaction costs

Metadata only

Author

Date

2016-07

Type

Journal Article

ETH Bibliography

yes

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Publication status

published

External links

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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ETH Bibliography

yes

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