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3 datasets found
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Tags:
quantile-hedging
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Approximate hedging problem with transaction costs in stochastic volatility m...
43
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Approximate hedging problem with transaction costs in stochastic volatility m...
47
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Approximate hedging with proportional transaction costs in stochastic volatil...
We extend the resutls for the problem of option replication under proportional transaction costs in \cite{Nguyen} to more general frameworks where stochastic...
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