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Feedback effects of dynamic hedging strategies in the presence of transaction costs

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E. Agliardi
R. Andergassen

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Paper provided by Dipartimento Scienze Economiche, Università di Bologna in its series Working Papers with number 445.

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Date of creation: 2002
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Handle: RePEc:bol:bodewp:445

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  1. Caballero, Ricardo J & Engel, Eduardo M R A, 1993. "Microeconomic Adjustment Hazards and Aggregate Dynamics," The Quarterly Journal of Economics, MIT Press, vol. 108(2), pages 359-83, May. [Downloadable!] (restricted)
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  2. Platen, Eckhard, and Martin Schweizer, 1994. "On Smile and Skewness," Discussion Paper Serie B 302, University of Bonn, Germany.
  3. Grossman, Sanford J, 1988. "An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies," Journal of Business, University of Chicago Press, vol. 61(3), pages 275-98, July. [Downloadable!] (restricted)
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