Explicit Solution of the Multivariate Super-Replication Problem under Transaction Costs
Year of publication: |
2000
|
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Authors: | Bouchard, Bruno ; Touzi, Nizar |
Institutions: | Université Paris-Dauphine (Paris IX) |
Subject: | viscosity solutions | dynamic programming | hedging options | Transaction costs |
Extent: | application/postscript |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Published in The Annals of Applied Probability, 2000, Vol. 10, no. 3. pp. 685-708.Length: 23 pages |
Classification: | G13 - Contingent Pricing; Futures Pricing ; G11 - Portfolio Choice ; D53 - Financial Markets |
Source: |
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Bentahar, Imen, (2005)
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Option Pricing via Utility Maximization in the presence of Transaction Costs: an Asymptotic Analysis
Bouchard, Bruno, (2000)
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Super-replication under proportional transaction costs: From discrete to continuous-time models
Touzi, Nizar, (1999)
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Option pricing by large risk aversion utility under transaction costs
Bouchard, Bruno, (2001)
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On the Malliavin approach to Monte Carlo approximation of conditional expectations
Bouchard, Bruno, (2004)
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Dual Formulation of the Utility Maximization Problem : the case of Nonsmooth Utility
Zhegal, Amina, (2004)
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