Super-replication under proportional transaction costs: From discrete to continuous-time models (Q1809500)
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scientific article; zbMATH DE number 1370336
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| English | Super-replication under proportional transaction costs: From discrete to continuous-time models |
scientific article; zbMATH DE number 1370336 |
Statements
Super-replication under proportional transaction costs: From discrete to continuous-time models (English)
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28 August 2000
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transaction costs
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hedging options
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continuous-time limit
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dynamic programming
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viscosity solutions
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0.9590731
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0.9456848
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0.93915814
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0.9305446
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0.9282546
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0.92458594
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0.92171896
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