SUPERHEDGING IN ILLIQUID MARKETS
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Publication:3008489
DOI10.1111/j.1467-9965.2010.00437.xzbMath1229.91322arXiv0807.2962WikidataQ110099318 ScholiaQ110099318MaRDI QIDQ3008489
Publication date: 16 June 2011
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0807.2962
illiquidity; superhedging; claim process; no arbitrage conditions; nonlinear market models; premium process; stochastic term structure; sufficient closedness conditions
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G20: Derivative securities (option pricing, hedging, etc.)
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