SUPERHEDGING IN ILLIQUID MARKETS (Q3008489)

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SUPERHEDGING IN ILLIQUID MARKETS
scientific article

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    title
    SUPERHEDGING IN ILLIQUID MARKETS (English)
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    author
    Teemu Pennanen
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    publication date
    16 June 2011
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    zbMATH DE Number
    5908416
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    zbMATH Keywords
    superhedging
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    illiquidity
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    claim process
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    premium process
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    stochastic term structure
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    no arbitrage conditions
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    sufficient closedness conditions
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    nonlinear market models
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    Wikidata QID
    Q110099318
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    OpenAlex ID
    W2157338408
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    arXiv ID
    0807.2962
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