Super-replication with fixed transaction costs
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Publication:1737955
DOI10.1214/17-AAP1372zbMath1411.91538arXiv1610.09234MaRDI QIDQ1737955
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
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Scaling limits for super-replication with transient price impact, Market delay and \(G\)-expectations
Cites Work
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