Hedging of Claims with Physical Delivery under Convex Transaction Costs
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Publication:3563690
DOI10.1137/090754182zbMath1230.91059arXiv0810.2016OpenAlexW2147724549MaRDI QIDQ3563690
Publication date: 1 June 2010
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0810.2016
Martingales with discrete parameter (60G42) Derivative securities (option pricing, hedging, etc.) (91G20) Duality theory for topological vector spaces (46A20) Convex sets in topological vector spaces (aspects of convex geometry) (52A07)
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