Linear Vector Optimization and European Option Pricing Under Proportional Transaction Costs (Q2805756): Difference between revisions

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+An outer approximation algorithm for generating all efficient extreme points in the outcome set of a multiple objective linear programming problem
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+Duality for Set-Valued Measures of Risk
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+Geometric Duality for Convex Vector Optimization Problems
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+Geometric Duality in Multiple Objective Linear Programming
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+Hedging and liquidation under transaction costs in currency markets
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+Non-arbitrage criteria for financial markets with efficient friction
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+The Harrison-Pliska arbitrage pricing theorem under transaction costs
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+The decoupling approach to binomial pricing of multi-asset options
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+On duality in multiple objective linear programming
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+Options under proportional transaction costs: An algorithmic approach to pricing and hedging
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+The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
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