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Hedging and liquidation under transaction costs in currency markets

โœ Scribed by Y.M. Kabanov


Publisher
Springer-Verlag
Year
1999
Tongue
English
Weight
95 KB
Volume
3
Category
Article
ISSN
0949-2984

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In this paper, we consider the problem of hedging contingent claims on a stock under transaction costs and stochastic volatility. Extensive research has clearly demonstrated that the volatility of most stocks is not constant over time. As small changes of the volatility can have a major impact on th

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