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Simulations of transaction costs and optimal rehedging

4 references·3 citing·23 second hop

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1989Optimal replication of contingent claims under transaction costs605 cited
1993European Option Pricing with Transaction Costs474 cited
1980Discretely adjusted option hedges194 cited

Cited by

2006Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs23 cited
1997Actuaries and Derivatives22 cited
2001Frequent Hedging under Transaction Costs and a Nonlinear Fokker--Planck PDE16 cited

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