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Hedging of the European option in discrete time under proportional transaction costs.

Marek Kocinski
Published in: Math. Methods Oper. Res. (2004)
Keyphrases
  • transaction costs
  • markov chain
  • search costs
  • stock exchange
  • option pricing
  • portfolio selection
  • portfolio management
  • machine learning
  • information retrieval
  • long term
  • transaction cost economics