Competing methods for option hedging in the presence of transaction costs
L Martellini, P Priaulet - Journal of Derivatives, 2002 - search.proquest.com
Considerable theoretical work has been devoted to option replication in the presence of
transaction costs, and several competing methods have been advocated to improve the …
transaction costs, and several competing methods have been advocated to improve the …
[CITATION][C] Constant Impact Strategy
V Markov - The Journal of Trading, 2014