Super-replication with fixed transaction costs

DOI10.1214/17-AAP1372zbMath1411.91538arXiv1610.09234MaRDI QIDQ1737955

Yan Dolinsky, Peter Bank

Publication date: 24 April 2019

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.09234

zbMATH Keywords

super-replication; binomial models; conditional full support; fixed transaction costs

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Scaling limits for super-replication with transient price impact, Market delay and \(G\)-expectations

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