Multi-period minimax hedging strategies
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- Howe, M A & Rustem, B & Selby, M J P, 1994. "Minimax Hedging Strategy," Computational Economics, Springer;Society for Computational Economics, vol. 7(4), pages 245-75.
- Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
- Gilster, John E, Jr & Lee, William, 1984. " The Effects of Transaction Costs and Different Borrowing and Lending Rates on the Option Pricing Model: A Note," Journal of Finance, American Finance Association, vol. 39(4), pages 1215-21, September.
- Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
- Leland, Hayne E, 1985.
" Option Pricing and Replication with Transactions Costs,"
Journal of Finance,
American Finance Association, vol. 40(5), pages 1283-1301, December.
- Hayne E. Leland., 1984. "Option Pricing and Replication with Transactions Costs," Research Program in Finance Working Papers 144, University of California at Berkeley.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
- Boyle, Phelim P. & Emanuel, David, 1980. "Discretely adjusted option hedges," Journal of Financial Economics, Elsevier, vol. 8(3), pages 259-282, September.
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