On Super-Replication in Discrete Time under Transaction Costs
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Publication:4328512
DOI10.1137/S0040585X9797866XzbMATH Open0994.60048OpenAlexW2091788403MaRDI QIDQ4328512FDOQ4328512
Huyên Pham, Nizar Touzi, Pierre-François Koehl
Publication date: 25 April 2002
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0040585x9797866x
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- A note on super-replicating strategies
- American contingent claims under small proportional transaction costs
- A closed-form solution to the problem of super-replication under transaction costs
- Options under proportional transaction costs: An algorithmic approach to pricing and hedging
- Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
- Explicit solution to the multivariate super-replication problem under transaction costs.
- The super-replication theorem under proportional transaction costs revisited
- Game options with gradual exercise and cancellation under proportional transaction costs
- Super‐replication with transaction costs under model uncertainty for continuous processes
- Von Neumann–Gale model, market frictions and capital growth
- A dynamic version of the super-replication theorem under proportional transaction costs
- Continuous-time duality for superreplication with transient price impact
- Numeraire portfolios and utility-based price systems under proportional transaction costs
- Dynamic programming principle and computable prices in financial market models with transaction costs
- Super-replication under proportional transaction costs: From discrete to continuous-time models
- Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization
- Utility maximization in markets with bid–ask spreads
- Hedging Under an Expected Loss Constraint with Small Transaction Costs
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