مرکز منطقه ای اطلاع رساني علوم و فناوري - Hedging options under transaction costs and stochastic volatility

Title of article :

Hedging options under transaction costs and stochastic volatility

Author/Authors :

Jacek Gondzio، نويسنده , , Roy Kouwenberg، نويسنده , , Ton Vorst، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2003

Pages :

From page :

1045

To page :

1068

Keywords :

Stochastic Volatility , stochastic programming , High-performance computing , Option hedging , Computational >nance

Journal title :

Journal of Economic Dynamics and Control

Serial Year :

2003

Journal title :

Journal of Economic Dynamics and Control

Record number :

238371

Link To Document :