Explicit characterization of the super-replication strategy in financial markets with partial transaction costs
Year of publication: |
2005
|
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Authors: | Bentahar, Imen ; Bouchard, Bruno |
Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
Subject: | trabsaction costs | hedging options | viscosity solutions |
Series: | SFB 649 Discussion Paper ; 2005,053 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 512451818 [GVK] hdl:10419/25072 [Handle] |
Source: |
-
Super-replication under proportional transaction costs: From discrete to continuous-time models
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Explicit Solution of the Multivariate Super-Replication Problem under Transaction Costs
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