Robust hedging with proportional transaction costs
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Publication:468414
DOI10.1007/s00780-014-0227-xzbMath1304.91189arXiv1302.0590OpenAlexW3125589302WikidataQ57635873 ScholiaQ57635873MaRDI QIDQ468414
Yan Dolinsky, Halil Mete Soner
Publication date: 7 November 2014
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1302.0590
weak convergencesuperreplicationtransaction costsrobust hedgingEuropean optionsoptimal transportfundamental theorem of asset pricingconsistent price systemshedging with constraints
Martingales with discrete parameter (60G42) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
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