Competing methods for option hedging in the presence of transaction costs
L Martellini, P Priaulet - The Journal of Derivatives, 2002 - pm-research.com
Most option pricing models are set in continuous time in order for it to be (theoretically)
possible to follow an option replication strategy that continuously rebalances a delta-neutral …
possible to follow an option replication strategy that continuously rebalances a delta-neutral …
[CITATION][C] Constant Impact Strategy
V Markov - The Journal of Trading, 2014