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

@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G30
@@ Property / Mathematics Subject Classification ID: 91G30 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6618839
@@ Property / zbMATH DE Number: 6618839 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+super-replication
@@ Property / zbMATH Keywords: super-replication / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+hedging with friction
@@ Property / zbMATH Keywords: hedging with friction / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+volatility uncertainty
@@ Property / zbMATH Keywords: volatility uncertainty / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+limit theorems
@@ Property / zbMATH Keywords: limit theorems / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.1229
@@ Property / arXiv ID: 1411.1229 / rank @@
+Normal rank
@@ Property / cites work @@
+Hedging and Portfolio Optimization in Financial Markets with a Large Trader
+Normal rank
@@ Property / cites work @@
+Consistent price systems under model uncertainty
@@ Property / cites work: Consistent price systems under model uncertainty / rank @@
+Normal rank
@@ Property / cites work @@
+Arbitrage and duality in nondominated discrete-time models
+Normal rank
@@ Property / cites work @@
+Liquidity risk and arbitrage pricing theory
@@ Property / cites work: Liquidity risk and arbitrage pricing theory / rank @@
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
+Normal rank
@@ Property / cites work @@
+A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
+Normal rank
@@ Property / cites work @@
+Q3154979
@@ Property / cites work: Q3154979 / rank @@
+Normal rank
@@ Property / cites work @@
+Hedging of game options under model uncertainty in discrete time
+Normal rank
@@ Property / cites work @@
+Duality and convergence for binomial markets with friction
+Normal rank
@@ Property / cites work @@
+Robust hedging with proportional transaction costs
+Normal rank
@@ Property / cites work @@
+From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process<sup>1</sup>
+Normal rank
@@ Property / cites work @@
+Convex measures of risk and trading constraints
@@ Property / cites work: Convex measures of risk and trading constraints / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic finance. An introduction in discrete time
+Normal rank
@@ Property / cites work @@
+LIQUIDITY IN A BINOMIAL MARKET
@@ Property / cites work: LIQUIDITY IN A BINOMIAL MARKET / rank @@
+Normal rank
@@ Property / cites work @@
+Volatility misspecification, option pricing and superreplication via coupling
+Normal rank
@@ Property / cites work @@
+Limit theorem on option replication cost with transaction costs
+Normal rank
@@ Property / cites work @@
+On the possibility of hedging options in the presence of transaction costs
+Normal rank
@@ Property / cites work @@
+Superhedging and Dynamic Risk Measures under Volatility Uncertainty
+Normal rank
@@ Property / cites work @@
+Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
+Normal rank
@@ Property / cites work @@
+There is no nontrivial hedging portfolio for option pricing with transaction costs
+Normal rank
@@ Property / cites work @@
+Martingale representation theorem for the \(G\)-expectation
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@@ links / mardi / name / links / mardi / name @@
+Publication:303967