Dynamic hedging with transaction costs
Black-Scholes and Merton options pricing model (BSM) makes assumptions such as continuous price dynamics, the possibility of continuous trading, known volatility of the asset price, and no transaction costs. However, in practice, these assumptions are satisfied only to a certain degree. When the f...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2011
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| Online Access: | https://eprints.nottingham.ac.uk/25287/ |