SUPERHEDGING IN ILLIQUID MARKETS
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Publication:3008489
DOI10.1111/j.1467-9965.2010.00437.xzbMath1229.91322arXiv0807.2962OpenAlexW2157338408WikidataQ110099318 ScholiaQ110099318MaRDI QIDQ3008489
Publication date: 16 June 2011
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0807.2962
illiquiditysuperhedgingclaim processno arbitrage conditionsnonlinear market modelspremium processstochastic term structuresufficient closedness conditions
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (16)
A BSDE approach to fair bilateral pricing under endogenous collateralization ⋮ NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS ⋮ Dual representation of superhedging costs in illiquid markets ⋮ GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS ⋮ Arbitrage and deflators in illiquid markets ⋮ Convex duality in optimal investment under illiquidity ⋮ Pricing without no-arbitrage condition in discrete time ⋮ Optimal investment and contingent claim valuation in illiquid markets ⋮ 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 ⋮ Valuation and pricing of electricity delivery contracts: the producer's view ⋮ Reduced-form framework under model uncertainty ⋮ Reduced form modeling of limit order markets ⋮ Hedging, arbitrage and optimality with superlinear frictions ⋮ Superreplication when trading at market indifference prices
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