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My bibliography Save this paperApproximate hedging problem with transaction costs in stochastic volatility markets
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- Huu Thai Nguyen & Serguei Pergamenchtchikov, 2012. "Approximate hedging problem with transaction costs in stochastic volatility markets," Working Papers hal-00747689, HAL.
References listed on IDEAS
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- repec:hal:wpaper:hal-03284655 is not listed on IDEAS
- Huu Thai Nguyen & Serguei Pergamenchtchikov, 2014. "Approximate hedging with proportional transaction costs in stochastic volatility models with jumps," Working Papers hal-00979199, HAL.
- Thai Huu Nguyen & Serguei Pergamenschchikov, 2015. "Approximate hedging with proportional transaction costs in stochastic volatility models with jumps," Papers 1505.02627, arXiv.org, revised Sep 2019.
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More about this item
Keywords
Leland strategy; transaction costs; quantile hedging; limit theorem;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ORE-2013-04-20 (Operations Research)
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