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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
... Theoretical Futures Price Arbitrage Trading Transaction Costs © 2010 Emerald Publishing Limited 2010 This article is published under the Creative Commons Attribution (CC BY 4.0) licence. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial...
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...
