Hedging options under transaction costs and stochastic volatility

B-Tier

Journal: Journal of Economic Dynamics and Control

Year: 2003

Volume: 27

Issue: 6

Pages: 1045-1068

Authors (3)

Gondzio, Jacek (not in RePEc) Kouwenberg, Roy (Mahidol University) Vorst, Ton (Vrije Universiteit Amsterdam)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count