Hedging in discrete time under transaction costs and continuous-time limit

DOI10.1239/jap/1032374239zbMath0937.91063OpenAlexW1988487366MaRDI QIDQ4261295

Huyên Pham, Pierre-François Koehl, Nizar Touzi

Publication date: 14 June 2000

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1032374239

zbMATH Keywords

martingaletransaction costssuper-replicationdiscrete-time financial market model

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (9)

General indifference pricing with small transaction costs ⋮ Hedging Under an Expected Loss Constraint with Small Transaction Costs ⋮ American contingent claims under small proportional transaction costs ⋮ Game options with gradual exercise and cancellation under proportional transaction costs ⋮ Von Neumann–Gale model, market frictions and capital growth ⋮ A counter-example to an option pricing formula under transaction costs ⋮ An integer programming model for pricing American contingent claims under transaction costs ⋮ Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment ⋮ Options under proportional transaction costs: An algorithmic approach to pricing and hedging

This page was built for publication: Hedging in discrete time under transaction costs and continuous-time limit