There is no nontrivial hedging portfolio for option pricing with transaction costs
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Publication:1901077
DOI10.1214/aoap/1177004767zbMath0837.90012OpenAlexW2068433492WikidataQ57636016 ScholiaQ57636016MaRDI QIDQ1901077
Halil Mete Soner, Jakša Cvitanić, Steven E. Shreve
Publication date: 12 May 1996
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1177004767
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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