Hedging Strategy with Transaction Costs
The traditional binomial model for derivative security pricing is enhanced to include transaction costs, portfolio constraints, and dividend-paying assets, aiming to identify the best hedging strategy.
Featured in No. 71 on 23 Oct 2024 ·
- Released
- 1 Apr 2024
- First featured
- No. 71 · 23 Oct 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4990913
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).