scientific article; zbMATH DE number 1286337

zbMATH Open0929.91033MaRDI QIDQ4242838FDOQ4242838

Authors: Shimeng Xu, Junchang Lin, Yuzhong Zhang 

Publication date: 10 January 2000

Title of this publication is not available (Why is that?)

Recommendations

• scientific article; zbMATH DE number 1795848
• scientific article; zbMATH DE number 5002006
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• Partial Hedging under Transaction Costs
• Hedging American contingent claims with constrained portfolios under proportional transaction costs

zbMATH Keywords

martingale approachhedging contingent claims

Mathematics Subject Classification ID

Generalizations of martingales (60G48)

Cited In (5)

• The pricing of financial derivatives under transaction costs.
• Vector Optimization Approach For Pricing And Hedging In Imperfect Markets
• Title not available (Why is that?)
• The writing price of a European contingent claim under proportional transaction costs
• Title not available (Why is that?)

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4242838)