Optimal hedging in an extended binomial market under transaction costs
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DOI: 10.1080/14697688.2015.1039225
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References listed on IDEAS
- Boyle, Phelim P & Vorst, Ton, 1992. "Option Replication in Discrete Time with Transaction Costs," Journal of Finance, American Finance Association, vol. 47(1), pages 271-293, March.
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- Norman Josephy & Lucia Kimball & Victoria Steblovskaya, 2017. "On The Numerical Aspects Of Optimal Option Hedging With Transaction Costs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-22, February.
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