Dynamic hedging with transaction costs

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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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Bibliographic Details
Main Author:	Than, Ei Thuzar
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2011
Online Access:	https://eprints.nottingham.ac.uk/25287/

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