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

Authors: Avellaneda Marco ^a; Par aacute

S 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: journal

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)

Article Requests: Order Reprints : Request Permissions

Linking to informaworld

Article Link

To link directly to Dynamic hedging portfolios for derivative securities in the presence of large transaction costs:

Open URL Style	http://www.informaworld.com/openurl?genre=article&issn=1350-486X&volume=1&issue=2&spage=165
DOI	http://dx.doi.org/10.1080/13504869400000010

Issue Link

To link directly to Applied Mathematical Finance, Volume 1 No. 2:

Open URL Style

Journal Link

To link directly to Applied Mathematical Finance:

Open URL Style	http://www.informaworld.com/openurl?genre=journal&issn=1350-486X
Paper ISSN	http://www.informaworld.com/1350-486X
Electronic ISSN	http://www.informaworld.com/1466-4313