scientific article; zbMATH DE number 5002006

MaRDI QIDQ3367848zbMATH OpenFDO

Authors Bo Wang, Qingxin Meng

Publication date 26 January 2006

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24)

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• Arbitrage-free interval of American contingent claims under proportional transaction cost
• Approximate hedging of contingent claims under transaction costs for general pay-offs
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