The scaling limit of superreplication prices with small transaction costs in the multivariate case
From MaRDI portal
Publication:522060
DOI10.1007/s00780-016-0320-4zbMath1378.91132arXiv1510.04537MaRDI QIDQ522060
Peter Bank, Yan Dolinsky, Ari-Pekka Perkkiö
Publication date: 13 April 2017
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1510.04537
60F05: Central limit and other weak theorems
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
60F17: Functional limit theorems; invariance principles
91G10: Portfolio theory
91G99: Actuarial science and mathematical finance
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