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Dynamic hedging portfolios for derivative securities in the presence of large transaction costs 

Authors: Avellaneda Marco ^a; ParS Antonio ^a

Affiliation:

a Courant Institute of Mathematical Sciences, New York University, New York, NY, USA

DOI: 10.1080/13504869400000010

Publication Frequency: 6 issues per year

Published in: Applied Mathematical Finance, Volume 1, Issue 2 December 1994 , pages 165 - 194

Subjects: Applied Mathematics; Business Mathematics; Finance; Financial Mathematics; Physics;

Formats available: PDF (English)

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