A closed-form solution to the problem of super-replication under transaction costs

DOI10.1007/s007800050051zbMath0924.90010OpenAlexW1992925703MaRDI QIDQ1297907

Jakša Cvitanić, Huyên Pham, Nizar Touzi

Publication date: 14 September 1999

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050051

zbMATH Keywords

transaction costsviscosity solutionsbuy-and-hold strategiessuper-replicating strategies

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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