Jacek Gondzio

University of Edinburgh - School of Mathematics

United Kingdom

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Scholarly Papers (1)

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Hedging Options Under Transaction Costs and Stochastic Volatility

Posted: 23 May 2003
Roy Kouwenberg, Jacek Gondzio and Ton Vorst
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), University of Edinburgh - School of Mathematics and VU University Amsterdam - Department of Finance and Financial Sector Management

Abstract:

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Option hedging, Stochastic Volatility, Stochastic Programming, Computational Finance