Duality and convergence for binomial markets with friction
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Publication:354186
DOI10.1007/s00780-012-0192-1zbMath1277.91157arXiv1106.2095WikidataQ57635881 ScholiaQ57635881MaRDI QIDQ354186
Yan Dolinsky, Halil Mete Soner
Publication date: 18 July 2013
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1106.2095
Legendre transform; limit theorem; super-replication; liquidity; European options; \(G\)-expectation; binomial model; smooth volatility process; trading cost
60F05: Central limit and other weak theorems
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G10: Portfolio theory
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