Super-replication under proportional transaction costs : from discrete to continuous-time models
Year of publication: |
1999
|
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Authors: | Touzi, Nizar |
Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 50.1999, 2, p. 297-320
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Subject: | Hedging | Transaktionskosten | Transaction costs | Dynamische Optimierung | Dynamic programming | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Theorie | Theory |
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