Recommendations
- Super-replication with fixed transaction costs
- scientific article; zbMATH DE number 1985275
- More on super-replication formulae
- The super-replication theorem under proportional transaction costs revisited
- On the super replication price of unbounded claims
- More on super-replication formulae. II
- Superreplication when trading at market indifference prices
- A closed-form solution to the problem of super-replication under transaction costs
Cites work
- Ambiguous volatility, possibility and utility in continuous time
- Arbitrage and duality in nondominated discrete-time models
- Borel sets of probability measures
- DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1
- Equivalent martingale measures and no-arbitrage in stochastic securities market models
- Explicit solutions for shortfall risk minimization in multinomial models.
- Exponential utility maximization under model uncertainty for unbounded endowments
- scientific article; zbMATH DE number 4060392 (Why is no real title available?)
- Infinite dimensional analysis. A hitchhiker's guide.
- Martingale inequalities and deterministic counterparts
- Option pricing: A simplified approach
- Optional decompositions under constraints
- Pricing and hedging derivative securities in markets with uncertain volatilities
- Stochastic optimal control. The discrete time case
- The robust superreplication problem: a dynamic approach
Cited in
(18)- Sublinear price functionals under portfolio constraints
- On the super replication price of unbounded claims
- Scaling limits for super-replication with transient price impact
- Realistic models of financial market and structural stability
- Pricing without no-arbitrage condition in discrete time
- Superreplication under model uncertainty in discrete time
- Guaranteed deterministic approach to superhedging: case of binary European option
- A guaranteed deterministic approach to superhedging: financial market model, trading constraints and Bellman-Isaacs equations
- Super-replication in fully incomplete markets
- scientific article; zbMATH DE number 1897412 (Why is no real title available?)
- Short communication: Super-replication prices with multiple priors in discrete time
- The robust superreplication problem: a dynamic approach
- Superreplication of Options on Several Underlying Assets
- Comparison of two methods for superreplication
- Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework
- A Note on Transition Kernels for the Most Unfavourable Mixed Strategies of the Market
- Super-replication of life-contingent options under the Black-Scholes framework
- Pricing without martingale measure
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