Robust hedging with proportional transaction costs

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

zbMATH Keywords

weak convergencesuperreplicationtransaction costsrobust hedgingEuropean optionsoptimal transportfundamental theorem of asset pricingconsistent price systemshedging with constraints

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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