Hedging under an expected loss constraint with small transaction costs
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Author / Producer
Date
2016-07
Publication Type
Journal Article
ETH Bibliography
yes
Citations
Altmetric
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Data
Rights / License
Permanent link
Publication status
published
External links
Editor
Book title
Journal / series
Volume
7 (1)
Pages / Article No.
508 - 551
Publisher
SIAM
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
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.