Dual representation of superhedging costs in illiquid markets
From MaRDI portal
Publication:1938969
DOI10.1007/s11579-012-0061-xzbMath1275.91063OpenAlexW2028116748MaRDI QIDQ1938969
Publication date: 26 February 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-012-0061-x
Related Items (18)
A BSDE approach to fair bilateral pricing under endogenous collateralization ⋮ NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS ⋮ Efficient Allocations in Double Auction Markets ⋮ Stochastic programs without duality gaps ⋮ Introduction to the special issue: Stochastic financial economics, Volume 2 ⋮ Fundamental theorem of asset pricing with acceptable risk in markets with frictions ⋮ A convex duality approach for pricing contingent claims under partial information and short selling constraints ⋮ Convex duality in optimal investment under illiquidity ⋮ Existence of solutions in non-convex dynamic programming and optimal investment ⋮ Optimal investment and contingent claim valuation in illiquid markets ⋮ FTAP in finite discrete time with transaction costs by utility maximization ⋮ Arbitrage conditions for electricity markets with production and storage ⋮ Introduction to convex optimization in financial markets ⋮ Convex duality in optimal investment and contingent claim valuation in illiquid markets ⋮ Log-optimal and rapid paths in von Neumann-Gale dynamical systems ⋮ Valuation and pricing of electricity delivery contracts: the producer's view ⋮ Reduced-form framework under model uncertainty ⋮ Superreplication when trading at market indifference prices
Cites Work
- Unnamed Item
- Unnamed Item
- Arbitrage and deflators in illiquid markets
- Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model
- Link-save trading
- Markets with transaction costs. Mathematical theory.
- Convex duality in constrained portfolio optimization
- A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
- Hedging and liquidation under transaction costs in currency markets
- Local martingales and the fundamental asset pricing theorems in the discrete-time case
- The Dalang-Morton-Willinger theorem under cone constraints.
- Convex measures of risk and trading constraints
- Liquidity risk and arbitrage pricing theory
- Martingales and arbitage in securities markets with transaction costs
- The Kreps--Yan theorem for \(L^\infty\)
- Martingale selection problem and asset pricing in finite discrete time
- The mathematics of arbitrage
- Integrals which are convex functionals
- On the representation of semimartingales
- Arbitrage and state price deflators in a general intertemporal framework
- Reduced form modeling of limit order markets
- Convex Duality in Stochastic Optimization and Mathematical Finance
- SUPERHEDGING IN ILLIQUID MARKETS
- TAX BASIS AND NONLINEARITY IN CASH STREAM VALUATION
- ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
- Equivalent martingale measures and no-arbitrage in stochastic securities market models
- Hedging of Claims with Physical Delivery under Convex Transaction Costs
- Pricing American Options: A Duality Approach
- Mathematical methods of game and economic theory
- Cash Stream Valuation In the Face of Transaction Costs and Taxes
- Variational Analysis
- The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
- Monte Carlo valuation of American options
- On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria
- Convex Analysis
- An Extended Version of the Dalang--Morton--Willinger Theorem under Portfolio Constraints
- Stochastic finance. An introduction in discrete time
- Coherent risk measures and good-deal bounds
- Arbitrage and investment opportunities
This page was built for publication: Dual representation of superhedging costs in illiquid markets