Variance optimal hedging in the Black-Scholes model for a given number of transactions

Abstract

Theme 4 - Simulation et optimisation de systemes complexes - Projet MATHFISIGLEAvailable from INIST (FR), Document Supply Service, under shelf-number : 14802 E, issue : a.1999 n.3767 / INIST-CNRS - Institut de l'Information Scientifique et TechniqueFRFranc