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Language: en
Pages:
Pages:
Type: BOOK - Published: 2004 - Publisher:
In this paper we consider the problem of hedging contingent claims on a stock under transaction costs and stochastic volatility. Extensive research has clearly
Language: en
Pages: 29
Pages: 29
Type: BOOK - Published: 1999 - Publisher:
Language: en
Pages: 62
Pages: 62
Type: BOOK - Published: 2002 - Publisher:
Language: en
Pages: 215
Pages: 215
Type: BOOK - Published: 2014 - Publisher:
This thesis studies the problem of approximate hedging with constant proportional transaction costs in stochastic volatility models in different situations, usi
Language: en
Pages: 537
Pages: 537
Type: BOOK - Published: 2016-08-15 - Publisher: John Wiley & Sons
The Volatility Smile The Black-Scholes-Merton option model was the greatest innovation of 20th century finance, and remains the most widely applied theory in al