Hedging problem for Asian call options with transaction costs
In this paper, we develop asymptotic Asian option hedging methods for the Black--Scholes markets with transaction costs. We first construct classical replication strategies and then, using the Leland approach, propose corresponding modifications for the financial markets with proportional transactio...
| Published in: | Theory of probability and its applications Vol. 68, № 2. P. 211-230 |
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| Main Author: | |
| Other Authors: | , |
| Format: | Article |
| Language: | English |
| Subjects: | |
| Online Access: | http://vital.lib.tsu.ru/vital/access/manager/Repository/koha:001017454 Перейти в каталог НБ ТГУ |