Explicit solution to the multivariate super-replication problem under transaction costs. (Q1872495): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2271468679 / rank | |||
Normal rank | |||
Revision as of 21:16, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Explicit solution to the multivariate super-replication problem under transaction costs. |
scientific article |
Statements
Explicit solution to the multivariate super-replication problem under transaction costs. (English)
0 references
6 May 2003
0 references
transaction costs
0 references
hedging options
0 references
dynamic programming
0 references
viscosity solutions
0 references
