Super-replication with nonlinear transaction costs and volatility uncertainty (Q303967): Difference between revisions

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+.1229
@@ Property / arXiv ID: 1411.1229 / rank @@
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+Hedging and Portfolio Optimization in Financial Markets with a Large Trader
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+Consistent price systems under model uncertainty
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@@ Property / cites work @@
+Arbitrage and duality in nondominated discrete-time models
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+Liquidity risk and arbitrage pricing theory
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+A general version of the fundamental theorem of asset pricing
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+A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
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+Q3154979
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+Hedging of game options under model uncertainty in discrete time
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+Duality and convergence for binomial markets with friction
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+Robust hedging with proportional transaction costs
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+From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process<sup>1</sup>
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+Convex measures of risk and trading constraints
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+Stochastic finance. An introduction in discrete time
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+LIQUIDITY IN A BINOMIAL MARKET
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+Volatility misspecification, option pricing and superreplication via coupling
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+Limit theorem on option replication cost with transaction costs
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+On the possibility of hedging options in the presence of transaction costs
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+Superhedging and Dynamic Risk Measures under Volatility Uncertainty
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+Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
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+There is no nontrivial hedging portfolio for option pricing with transaction costs
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+Martingale representation theorem for the \(G\)-expectation
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