Cannelli, Loris; Nuti, Giuseppe; Sala, Marzio; Szehr, Oleg - In: The Journal of finance and data science : JFDS 9 (2023), pp. 1-22
The construction of replication strategies for contingent claims in the presence of risk and market friction is a key problem of financial engineering. In real markets, continuous replication, such as in the model of Black, Scholes and Merton (BSM), is not only unrealistic but is also...