Hedging in discrete time under transaction costs and continuous-time limit
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Publication:4261295
DOI10.1239/jap/1032374239zbMath0937.91063MaRDI QIDQ4261295
Huyên Pham, Nizar Touzi, Pierre-François Koehl
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
91B24: Microeconomic theory (price theory and economic markets)
60H30: Applications of stochastic analysis (to PDEs, etc.)
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