Approximate hedging with proportional transaction costs in stochastic volatility models with jumps
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More about this item
Keywords
transaction costs. jump models; stochastic volatility; approximate hedging; theorem limit; super-hedging; quantile hedging;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ORE-2014-04-29 (Operations Research)
- NEP-RMG-2014-04-29 (Risk Management)
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