Hedging Options under Transaction Costs and Stochastic Volatility

Research output: Contribution to Journal › Article › Academic › peer-review

Original language	English
Pages (from-to)	1045-1068
Journal	Journal of Economic Dynamics and Control
Volume	27
Issue number	6
DOIs	https://doi.org/10.1016/S0165-1889(02)00054-4
Publication status	Published - 2003

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@article{7b05580840a24c079d5c140cd6007b34,

title = "Hedging Options under Transaction Costs and Stochastic Volatility",

author = "J. Gondzio and J.H.M. Kouwenberg and A.C.F. Vorst",

year = "2003",

doi = "10.1016/S0165-1889(02)00054-4",

language = "English",

volume = "27",

pages = "1045--1068",

journal = "Journal of Economic Dynamics and Control",

issn = "0165-1889",

publisher = "Elsevier B.V.",

number = "6",

}

TY - JOUR

T1 - Hedging Options under Transaction Costs and Stochastic Volatility

AU - Gondzio, J.

AU - Kouwenberg, J.H.M.

AU - Vorst, A.C.F.

PY - 2003

Y1 - 2003

U2 - 10.1016/S0165-1889(02)00054-4

DO - 10.1016/S0165-1889(02)00054-4

M3 - Article

SN - 0165-1889

VL - 27

SP - 1045

EP - 1068

JO - Journal of Economic Dynamics and Control

JF - Journal of Economic Dynamics and Control

IS - 6

ER -