On hedging in finite security markets
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Publication:4541574
DOI10.1080/135048699334519zbMath1009.91014MaRDI QIDQ4541574
Silvia Florio, Wolfgang J. Runggaldier
Publication date: 4 September 2002
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/135048699334519
91B24: Microeconomic theory (price theory and economic markets)
91B26: Auctions, bargaining, bidding and selling, and other market models
Cites Work
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- Approximations of Dynamic Programs, I
- On Quadratic Cost Criteria for Option Hedging
- DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1
- Bond Market Structure in the Presence of Marked Point Processes
- The analysis of finite security markets using martingales
- Variance-Optimal Hedging in Discrete Time
- Option pricing: A simplified approach