SUPERHEDGING IN ILLIQUID MARKETS
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Publication:3008489
DOI10.1111/j.1467-9965.2010.00437.xzbMath1229.91322arXiv0807.2962WikidataQ110099318 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
illiquidity; superhedging; claim process; no arbitrage conditions; nonlinear market models; premium process; stochastic term structure; sufficient closedness conditions
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Superreplication when trading at market indifference prices, A BSDE approach to fair bilateral pricing under endogenous collateralization, Arbitrage and deflators in illiquid markets, Convex duality in optimal investment under illiquidity, Introduction to convex optimization in financial markets, Convex duality in optimal investment and contingent claim valuation in illiquid markets, Dual representation of superhedging costs in illiquid markets, Optimal investment and contingent claim valuation in illiquid markets, Hedging, arbitrage and optimality with superlinear frictions, Reduced form modeling of limit order markets, GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS, NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS
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