On the pricing of contingent claims with frictions.

DOI10.1111/1467-9965.00083zbMATH Open1074.91524OpenAlexW2105258172MaRDI QIDQ2707136FDOQ2707136

Authors: H. Julien, Alain Bensoussan 

Publication date: 29 March 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00083

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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cited In (12)

• Cost-efficient contingent claims with market frictions
• Duplicating and pricing contingent claims with constrained portfolios
• European option pricing with market frictions, regime switches and model uncertainty
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• Viability and equilibrium in securities markets with frictions
• Hedging American contingent claims with constrained portfolios under proportional transaction costs
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• Contingent claims on assets with conversion costs.
• Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions
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