Linear vector optimization and European option pricing under proportional transaction costs (Q2805756)
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scientific article
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| English | Linear vector optimization and European option pricing under proportional transaction costs |
scientific article |
Statements
Linear Vector Optimization and European Option Pricing Under Proportional Transaction Costs (English)
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13 May 2016
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linear vector optimisation
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geometric duality
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option pricing
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superhedging
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transaction costs
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0.8021582365036011
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0.7863701581954956
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0.781593918800354
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0.7807719707489014
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0.771516740322113
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