Density estimation through quasi-analytic Monte-Carlo simulation: Options arbitrage with transactions costs
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DOI: 10.1007/s11156-006-0005-8
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References listed on IDEAS
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- Andreas Karathanasopoulos & Chia Chun Lo & Xiaorong Ma & Zhenjiang Qin, 2021. "Maintaining cost and ruin probability," Review of Quantitative Finance and Accounting, Springer, vol. 57(2), pages 759-793, August.
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Keywords
Rebalancing; Discrete; Frequency; Options arbitrage; Density estimation; Transactions cost;All these keywords.
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