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Optimal costs of isotopes

โœ Scribed by N.D. Eckhoff; L.T. Fan; W.R. Kimel


Publisher
Elsevier Science
Year
1967
Weight
280 KB
Volume
53
Category
Article
ISSN
0029-554X

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## Abstract This study uses asymptotic analysis to derive optimal hedging strategies for option portfolios hedged using an imperfectly correlated hedging asset with small fixed and/or proportional transaction costs, obtaining explicit formulae in special cases. This is of use when it is impractical