most citedA Stochastic Model for Illiquid Stock Prices and its Conclusion about Correlation Measurement

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q-fin.MF2025

Hedging Options on Asset Portfolios against Just One Underlying Asset in the Presence of Transaction Costs

Erina Nanyonga, Matt Davison

Options are contingent claims regarding the value of underlying assets. The Black-Scholes formula provides a road map for pricing these options in a risk-neutral setting, justified…