Matches in SemOpenAlex for { <https://semopenalex.org/work/W2963270140> ?p ?o ?g. }
Showing items 1 to 87 of
87
with 100 items per page.
- W2963270140 abstract "Abstract We study partial hedging for game options in markets with transaction costs bounded from below. More precisely, we assume that the investor's transaction costs for each trade are the maximum between proportional transaction costs and a fixed transaction cost. We prove that in the continuous-time Black‒Scholes (BS) model, there exists a trading strategy which minimizes the shortfall risk. Furthermore, we use binomial models in order to provide numerical schemes for the calculation of the shortfall risk and the corresponding optimal portfolio in the BS model." @default.
- W2963270140 created "2019-07-30" @default.
- W2963270140 creator A5064396762 @default.
- W2963270140 creator A5090768053 @default.
- W2963270140 date "2016-09-01" @default.
- W2963270140 modified "2023-09-25" @default.
- W2963270140 title "Risk minimization for game options in markets imposing minimal transaction costs" @default.
- W2963270140 cites W1966756524 @default.
- W2963270140 cites W1969993064 @default.
- W2963270140 cites W1981365697 @default.
- W2963270140 cites W2002128298 @default.
- W2963270140 cites W2007131044 @default.
- W2963270140 cites W2012524049 @default.
- W2963270140 cites W2022420776 @default.
- W2963270140 cites W2032021856 @default.
- W2963270140 cites W2050475264 @default.
- W2963270140 cites W2070201264 @default.
- W2963270140 cites W2084169645 @default.
- W2963270140 cites W2092076620 @default.
- W2963270140 cites W2096770317 @default.
- W2963270140 cites W2148986687 @default.
- W2963270140 cites W2952638867 @default.
- W2963270140 cites W3101174797 @default.
- W2963270140 cites W3123781324 @default.
- W2963270140 cites W4235532391 @default.
- W2963270140 doi "https://doi.org/10.1017/apr.2016.34" @default.
- W2963270140 hasPublicationYear "2016" @default.
- W2963270140 type Work @default.
- W2963270140 sameAs 2963270140 @default.
- W2963270140 citedByCount "4" @default.
- W2963270140 countsByYear W29632701402020 @default.
- W2963270140 countsByYear W29632701402022 @default.
- W2963270140 countsByYear W29632701402023 @default.
- W2963270140 crossrefType "journal-article" @default.
- W2963270140 hasAuthorship W2963270140A5064396762 @default.
- W2963270140 hasAuthorship W2963270140A5090768053 @default.
- W2963270140 hasBestOaLocation W29632701402 @default.
- W2963270140 hasConcept C10138342 @default.
- W2963270140 hasConcept C126255220 @default.
- W2963270140 hasConcept C131562839 @default.
- W2963270140 hasConcept C147764199 @default.
- W2963270140 hasConcept C149782125 @default.
- W2963270140 hasConcept C162324750 @default.
- W2963270140 hasConcept C175444787 @default.
- W2963270140 hasConcept C182306322 @default.
- W2963270140 hasConcept C2780821815 @default.
- W2963270140 hasConcept C33923547 @default.
- W2963270140 hasConcept C98965940 @default.
- W2963270140 hasConceptScore W2963270140C10138342 @default.
- W2963270140 hasConceptScore W2963270140C126255220 @default.
- W2963270140 hasConceptScore W2963270140C131562839 @default.
- W2963270140 hasConceptScore W2963270140C147764199 @default.
- W2963270140 hasConceptScore W2963270140C149782125 @default.
- W2963270140 hasConceptScore W2963270140C162324750 @default.
- W2963270140 hasConceptScore W2963270140C175444787 @default.
- W2963270140 hasConceptScore W2963270140C182306322 @default.
- W2963270140 hasConceptScore W2963270140C2780821815 @default.
- W2963270140 hasConceptScore W2963270140C33923547 @default.
- W2963270140 hasConceptScore W2963270140C98965940 @default.
- W2963270140 hasLocation W29632701401 @default.
- W2963270140 hasLocation W29632701402 @default.
- W2963270140 hasOpenAccess W2963270140 @default.
- W2963270140 hasPrimaryLocation W29632701401 @default.
- W2963270140 hasRelatedWork W122824903 @default.
- W2963270140 hasRelatedWork W1488355256 @default.
- W2963270140 hasRelatedWork W1591734112 @default.
- W2963270140 hasRelatedWork W1595369856 @default.
- W2963270140 hasRelatedWork W1979508981 @default.
- W2963270140 hasRelatedWork W1984222203 @default.
- W2963270140 hasRelatedWork W1988678364 @default.
- W2963270140 hasRelatedWork W2043087822 @default.
- W2963270140 hasRelatedWork W2065032909 @default.
- W2963270140 hasRelatedWork W2084518895 @default.
- W2963270140 hasRelatedWork W2114279714 @default.
- W2963270140 hasRelatedWork W2163739376 @default.
- W2963270140 hasRelatedWork W2168422934 @default.
- W2963270140 hasRelatedWork W2387125324 @default.
- W2963270140 hasRelatedWork W2412672422 @default.
- W2963270140 hasRelatedWork W2590747514 @default.
- W2963270140 hasRelatedWork W2996545783 @default.
- W2963270140 hasRelatedWork W2998481414 @default.
- W2963270140 hasRelatedWork W3125973117 @default.
- W2963270140 hasRelatedWork W3146631735 @default.
- W2963270140 isParatext "false" @default.
- W2963270140 isRetracted "false" @default.
- W2963270140 magId "2963270140" @default.
- W2963270140 workType "article" @default.