FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W1984256125> ?p ?o ?g. }

• W1984256125 endingPage "1376" @default.
• W1984256125 startingPage "1353" @default.
• W1984256125 abstract "This paper examines the problem of delta-hedging portfolios of options under transactions costs by maximising expected utility (or minimising a loss function on the replication error). We extend the work of Hodges and Neuberger (1989) to study the optimal strategy under a general cost function with fixed and proportional costs. A computational procedure for solving this problem is described and we develop an efficient computational method for the case of proportional transaction costs. We examine the nature of the solution close to the expiry date and using simulation we compare the performance of the optimal strategies with other common strategies." @default.
• W1984256125 created "2016-06-24" @default.
• W1984256125 creator A5012489050 @default.
• W1984256125 creator A5090207341 @default.
• W1984256125 date "1997-06-01" @default.
• W1984256125 modified "2023-10-16" @default.
• W1984256125 title "Optimal delta-hedging under transactions costs" @default.
• W1984256125 cites W2005158847 @default.
• W1984256125 cites W2007688427 @default.
• W1984256125 cites W2035841654 @default.
• W1984256125 cites W2041823389 @default.
• W1984256125 cites W2051614088 @default.
• W1984256125 cites W2074524292 @default.
• W1984256125 cites W2077791698 @default.
• W1984256125 cites W2095248654 @default.
• W1984256125 cites W2098124071 @default.
• W1984256125 cites W2115351953 @default.
• W1984256125 cites W2115580984 @default.
• W1984256125 cites W2118373752 @default.
• W1984256125 cites W2133968448 @default.
• W1984256125 cites W2146612430 @default.
• W1984256125 cites W2153977482 @default.
• W1984256125 cites W2175456627 @default.
• W1984256125 cites W3122129544 @default.
• W1984256125 cites W4231057775 @default.
• W1984256125 cites W4232064139 @default.
• W1984256125 cites W4233132202 @default.
• W1984256125 cites W4237240447 @default.
• W1984256125 cites W4255721404 @default.
• W1984256125 doi "https://doi.org/10.1016/s0165-1889(97)00030-4" @default.
• W1984256125 hasPublicationYear "1997" @default.
• W1984256125 type Work @default.
• W1984256125 sameAs 1984256125 @default.
• W1984256125 citedByCount "80" @default.
• W1984256125 countsByYear W19842561252012 @default.
• W1984256125 countsByYear W19842561252013 @default.
• W1984256125 countsByYear W19842561252014 @default.
• W1984256125 countsByYear W19842561252015 @default.
• W1984256125 countsByYear W19842561252016 @default.
• W1984256125 countsByYear W19842561252017 @default.
• W1984256125 countsByYear W19842561252018 @default.
• W1984256125 countsByYear W19842561252019 @default.
• W1984256125 countsByYear W19842561252020 @default.
• W1984256125 countsByYear W19842561252021 @default.
• W1984256125 countsByYear W19842561252023 @default.
• W1984256125 crossrefType "journal-article" @default.
• W1984256125 hasAuthorship W1984256125A5012489050 @default.
• W1984256125 hasAuthorship W1984256125A5090207341 @default.
• W1984256125 hasConcept C105795698 @default.
• W1984256125 hasConcept C12590798 @default.
• W1984256125 hasConcept C126255220 @default.
• W1984256125 hasConcept C127413603 @default.
• W1984256125 hasConcept C14036430 @default.
• W1984256125 hasConcept C144237770 @default.
• W1984256125 hasConcept C149782125 @default.
• W1984256125 hasConcept C162324750 @default.
• W1984256125 hasConcept C175444787 @default.
• W1984256125 hasConcept C18762648 @default.
• W1984256125 hasConcept C199360897 @default.
• W1984256125 hasConcept C33923547 @default.
• W1984256125 hasConcept C41008148 @default.
• W1984256125 hasConcept C42475967 @default.
• W1984256125 hasConcept C42866809 @default.
• W1984256125 hasConcept C75949130 @default.
• W1984256125 hasConcept C78458016 @default.
• W1984256125 hasConcept C78519656 @default.
• W1984256125 hasConcept C86803240 @default.
• W1984256125 hasConcept C98965940 @default.
• W1984256125 hasConceptScore W1984256125C105795698 @default.
• W1984256125 hasConceptScore W1984256125C12590798 @default.
• W1984256125 hasConceptScore W1984256125C126255220 @default.
• W1984256125 hasConceptScore W1984256125C127413603 @default.
• W1984256125 hasConceptScore W1984256125C14036430 @default.
• W1984256125 hasConceptScore W1984256125C144237770 @default.
• W1984256125 hasConceptScore W1984256125C149782125 @default.
• W1984256125 hasConceptScore W1984256125C162324750 @default.
• W1984256125 hasConceptScore W1984256125C175444787 @default.
• W1984256125 hasConceptScore W1984256125C18762648 @default.
• W1984256125 hasConceptScore W1984256125C199360897 @default.
• W1984256125 hasConceptScore W1984256125C33923547 @default.
• W1984256125 hasConceptScore W1984256125C41008148 @default.
• W1984256125 hasConceptScore W1984256125C42475967 @default.
• W1984256125 hasConceptScore W1984256125C42866809 @default.
• W1984256125 hasConceptScore W1984256125C75949130 @default.
• W1984256125 hasConceptScore W1984256125C78458016 @default.
• W1984256125 hasConceptScore W1984256125C78519656 @default.
• W1984256125 hasConceptScore W1984256125C86803240 @default.
• W1984256125 hasConceptScore W1984256125C98965940 @default.
• W1984256125 hasIssue "8-9" @default.
• W1984256125 hasLocation W19842561251 @default.
• W1984256125 hasOpenAccess W1984256125 @default.
• W1984256125 hasPrimaryLocation W19842561251 @default.
• W1984256125 hasRelatedWork W1536727859 @default.
• W1984256125 hasRelatedWork W2007122658 @default.
• W1984256125 hasRelatedWork W2096978547 @default.
• W1984256125 hasRelatedWork W2901033488 @default.
• W1984256125 hasRelatedWork W3016766501 @default.
• W1984256125 hasRelatedWork W3086458689 @default.

• next