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An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
Home
Publications
An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
AW
A. E. Whalley
A. E. Whalley
PW
P. Wilmott
P. Wilmott
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1 July 1997
journal article
Published by
Wiley
in
Mathematical Finance
Vol. 7
(3)
,
307-324
https://doi.org/10.1111/1467-9965.00034
Abstract
No abstract available
Keywords
OPTION PRICING
TRANSACTION COSTS
ASYMPTOTIC ANALYSIS
NONLINEAR DIFFUSION
Cited by 161 articles