Explicit characterization of the super-replication strategy in financial markets with partial transaction costs
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Publication:877726
DOI10.1016/j.spa.2006.09.010zbMath1151.91480arXivmath/0412247OpenAlexW3121385514MaRDI QIDQ877726
Publication date: 3 May 2007
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0412247
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44)
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Cites Work
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- User’s guide to viscosity solutions of second order partial differential equations
- A note on super-replicating strategies
- Super-replication in stochastic volatility models under portfolio constraints
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