Explicit solution to the multivariate super-replication problem under transaction costs. (Q1872495): Difference between revisions

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+User’s guide to viscosity solutions of second order partial differential equations
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+HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>
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+A closed-form solution to the problem of super-replication under transaction costs
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+A note on super-replicating strategies
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+Martingales and arbitage in securities markets with transaction costs
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+Hedging and liquidation under transaction costs in currency markets
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+Q4002114
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+On the possibility of hedging options in the presence of transaction costs
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+Q3996259
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+Convex Analysis
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+There is no nontrivial hedging portfolio for option pricing with transaction costs
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+Superreplication Under Gamma Constraints
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