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Option Pricing and Hedging in Discrete Time with Transaction Costs and Incomplete Markets
Option Pricing and Hedging in Discrete Time with Transaction Costs and Incomplete Markets
1997
F. Mercurio
A.C.F. Vorst
Keywords:
Incomplete markets
Business
Financial economics
Transaction cost
Hedge (finance)
Discrete time and continuous time
Finance
Valuation of options
Variable pricing
Correction
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