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"Dynamic Hedging Under Jump Diffusion with Transaction Costs."

J. S. Kennedy, Peter A. Forsyth, Kenneth R. Vetzal (2009)

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DOI: 10.1287/OPRE.1080.0598

access: closed

type: Journal Article

metadata version: 2020-03-31

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J. S. Kennedy, Peter A. Forsyth, Kenneth R. Vetzal:
Dynamic Hedging Under Jump Diffusion with Transaction Costs. Oper. Res. 57(3): 541-559 (2009)

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