Hedging of Claims with Physical Delivery under Convex Transaction Costs (Q3563690)

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Hedging of Claims with Physical Delivery under Convex Transaction Costs
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    title
    Hedging of Claims with Physical Delivery under Convex Transaction Costs (English)
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    DOI
    10.1137/090754182
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    author
    Teemu Pennanen
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    Irina Penner
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    publication date
    1 June 2010
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    Mathematics Subject Classification ID
    91B25
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    52A07
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    46A20
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    60G42
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    91G20
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    zbMATH DE Number
    5714645
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    zbMATH Keywords
    superhedging
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    physical delivery
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    illiquidity
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    transaction costs
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    convex duality
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