In this paper we consider the problem of hedging contingent claims on a stock under transaction costs and stochastic volatility. Extensive research has clearly

This thesis studies the problem of approximate hedging with constant proportional transaction costs in stochastic volatility models in different situations, usi

The Volatility Smile The Black-Scholes-Merton option model was the greatest innovation of 20th century finance, and remains the most widely applied theory in al