搜索结果: 1-1 共查到“管理经济学 Limit theorems”相关记录1条 . 查询时间(0.078 秒)
Limit Theorems for Partial Hedging Under Transaction Costs
Limit Theorems Partial Hedging Transaction Costs
2010/4/28
We study shortfall risk minimization for American options with path dependent payoffs under proportional transaction costs in the Black--Scholes (BS) model. We show that for this case the shortfall ri...