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Option replication with transaction costs: an exact solution for the Pure Jump Process

Option replication with transaction costs: an exact solution for the Pure Jump Process

Journal

Advances in Futures and Options Research

Subject

Finance, Strategy and Entrepreneurship

Publishing details

Advances in Futures and Options Research 1994 Vol 7 p 1-20

Publication Year

1994

Publication Notes

IFA RAE96-1 ISBN 1559387483

Publication Research Centre

Institute of Finance and Accounting

Available on ECCH

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