Hedging under an expected loss constraint with small transaction costs

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Author

Bouchard, Bruno

Moreau, Ludovic

Soner, H. Mete

Date

2016-07

Type

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Publication status

published

External links

Journal / series

SIAM Journal on Financial Mathematics

Volume

7(1)

Pages

508 - 551

Publisher

SIAM

Subject

Expected loss constraint; Hedging; Transaction cost; Asymptotic expansion

Organisational unit

03844 - Soner, Mete

Notes

Also published by: http://arxiv.org/abs/1309.4916.

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