Thanh Duong, Quyen Ho, An Tran, Minh Tran. Optimal Discrete Hedging in Garman-Kohlhagen Model with Liquidity Risk. In Hoai An Le Thi, Tao Pham Dinh, Ngoc Thanh Nguyen, editors, Modelling, Computation and Optimization in Information Systems and Management Sciences - Proceedings of the 3rd International Conference on Modelling, Computation and Optimization in Information Systems and Management Sciences - MCO 2015, Metz, France, May 11-13, 2015, Part II. Volume 360 of Advances in Intelligent Systems and Computing, pages 377-388, Springer, 2015. [doi]
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