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1-2 of 2
Keywords: Transaction Costs
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2010) 18 (4): 69–108.
Published: 30 November 2010
... and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode Equity Futures Theoretical Futures Price Arbitrage Trading Transaction Costs ...
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2009) 17 (2): 1–47.
Published: 31 May 2009
...Jun Young Park; Chongseok Hyun The trade-off between cost and risk of discretely rebalanced ELS hedges is analyzed under the proportional transaction costs. The analysis shows that the transaction costs have a considerable impact on the hedging performance. The trade-off, or mean-variance graphs...
