DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES

DOI10.1142/S0219024913500027zbMath1275.91128arXiv1205.4790OpenAlexW2154365972MaRDI QIDQ4916239

Igor Cialenco, Ismail Iyigunler, Rodrigo Marín Rodríguez, Tomasz R. Bielecki

Publication date: 22 April 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.4790

zbMATH Keywords

transaction costsarbitrage pricingilliquid marketfundamental theorems of asset pricingconic financedynamic coherent risk measuresswap contractsdynamic coherent acceptability indexdividend paying securitiesdynamic bid and askdynamic gain-loss rationo-good-deal bounds

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)

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