Simulations of transaction costs and optimal rehedging
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- Zakamouline, Valeri I., 2006. "European option pricing and hedging with both fixed and proportional transaction costs," Journal of Economic Dynamics and Control, Elsevier, vol. 30(1), pages 1-25, January.
- Johannes Gerer & Gregor Dorfleitner, 2016. "A Note On Utility Indifference Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(06), pages 1-17, September.
- Valeri Zakamouline, 2003. "European Option Pricing and Hedging with both Fixed and Proportional Transaction Costs," Finance 0311009, EconWPA.
- Lai, Tze Leung & Lim, Tiong Wee, 2009. "Option hedging theory under transaction costs," Journal of Economic Dynamics and Control, Elsevier, vol. 33(12), pages 1945-1961, December.
- Naio Ino & Afonso De Campos Pint, 2014. "Delta Hedge Com Custos Detransação: Uma Análise Comparativa," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting] 143, ANPEC - AssociaÃ§Ã£o Nacional dos Centros de PÃ³s-GraduaÃ§Ã£o em Economia [Brazilian Association of Graduate Programs in Economics].
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Keywordsoptions; transaction costs; hedging;
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