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3 datasets found
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
HTML
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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