A closed-form solution to the problem of super-replication under transaction costs
Year of publication: |
1998-11-17
|
---|---|
Authors: | Pham, HuyËn ; Touzi, Nizar ; Cvitanic, Jaksa |
Published in: |
Finance and Stochastics. - Springer. - Vol. 3.1999, 1, p. 35-54
|
Publisher: |
Springer |
Subject: | Transaction costs | super-replicating strategies | viscosity solutions |
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