Skip to main navigation
Skip to search
Skip to main content
NYU Scholars Home
Help & FAQ
Home
Profiles
Research units
Research output
Search by expertise, name or affiliation
Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
Marco Avellaneda, Antonio Paras
Mathematics
Research output
:
Contribution to journal
›
Article
›
peer-review
Overview
Fingerprint
Fingerprint
Dive into the research topics of 'Dynamic hedging portfolios for derivative securities in the presence of large transaction costs'. Together they form a unique fingerprint.
Sort by
Weight
Alphabetically
Keyphrases
Transaction Costs
100%
Derivative Securities
100%
Complex Transactions
100%
Dynamic Hedging
100%
Hedge Portfolio
100%
Hedging Strategy
60%
Volatility
40%
Underlying Asset
40%
Price Change
20%
Continuous-time
20%
Diffusion Equation
20%
Payoff
20%
Black-Scholes
20%
Static Strategy
20%
Lognormal
20%
Delta Hedging
20%
Risk Cost
20%
Obstacle Problem
20%
Hedging Risk
20%
Portfolio Adjustment
20%
Nonlinear Obstacle Problems
20%
Hedging Derivatives
20%
Mathematics
Hedging Strategy
100%
Obstacle Problem
66%
Underlying Asset
66%
Diffusion Equation
33%
Continuous Time
33%
Solution Exists
33%
Closed Form Solution
33%
Economics, Econometrics and Finance
Transaction Costs
100%
Hedging
100%
Volatility
33%
Continuous Time
16%