Super-replication with nonlinear transaction costs and volatility uncertainty
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Publication:303967
DOI10.1214/15-AAP1130zbMath1415.91276arXiv1411.1229MaRDI QIDQ303967
Peter Bank, Selim Gökay, Yan Dolinsky
Publication date: 23 August 2016
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1411.1229
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G20: Derivative securities (option pricing, hedging, etc.)
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