AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS (Q4979885): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
Set OpenAlex properties.
 
(5 intermediate revisions by 5 users not shown)
Property / describes a project that uses
 
Property / describes a project that uses: BENSOLVE / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 1107.5720 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The quickhull algorithm for convex hulls / rank
 
Normal rank
Property / cites work
 
Property / cites work: An outer approximation algorithm for generating all efficient extreme points in the outcome set of a multiple objective linear programming problem / rank
 
Normal rank
Property / cites work
 
Property / cites work: DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS<sup>1</sup> / rank
 
Normal rank
Property / cites work
 
Property / cites work: Primal-dual methods for vertex and facet enumeration / rank
 
Normal rank
Property / cites work
 
Property / cites work: COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME / rank
 
Normal rank
Property / cites work
 
Property / cites work: A dual variant of Benson's ``outer approximation algorithm'' for multiple objective linear programming / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time consistency of dynamic risk measures in markets with transaction costs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Vektormaximumproblem und parametrische optimierung / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Fenchel–Rockafellar duality theorem for set-valued optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Duality for Set-Valued Measures of Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Set-valued risk measures for conical market models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Geometric Duality in Multiple Objective Linear Programming / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingales and arbitage in securities markets with transaction costs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hedging and liquidation under transaction costs in currency markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Markets with transaction costs. Mathematical theory. / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Harrison-Pliska arbitrage pricing theorem under transaction costs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Non-arbitrage criteria for financial markets with efficient friction / rank
 
Normal rank
Property / cites work
 
Property / cites work: The decoupling approach to binomial pricing of multi-asset options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Vector Optimization with Infimum and Supremum / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Note on the Boyle–Vorst Discrete‐Time Option Pricing Model with Transactions Costs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Derivative asset pricing with transaction costs: an extension / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4235027 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Options under proportional transaction costs: An algorithmic approach to pricing and hedging / rank
 
Normal rank
Property / cites work
 
Property / cites work: American options under proportional transaction costs: pricing, hedging and stopping algorithms for long and short positions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2760175 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option Pricing in Discrete-Time Incomplete Market Models / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2147196795 / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 09:54, 30 July 2024

scientific article; zbMATH DE number 6305524
Language Label Description Also known as
English
AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS
scientific article; zbMATH DE number 6305524

    Statements

    AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS (English)
    0 references
    0 references
    0 references
    19 June 2014
    0 references
    transaction costs
    0 references
    superhedging
    0 references
    set-valued risk measures
    0 references
    coherent risk measures
    0 references
    algorithms
    0 references
    conical market model
    0 references
    vector optimization
    0 references
    geometric duality
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references