Showing 1 - 10 of 48
Duality for robust hedging with proportional transaction costs of path dependent European options is obtained in a discrete time financial market with one risky asset. Investor's portfolio consists of a dynamically traded stock and a static position in vanilla options which can be exercised at...
Persistent link: https://www.econbiz.de/10009750655
Persistent link: https://www.econbiz.de/10010340734
Persistent link: https://www.econbiz.de/10011990627
Persistent link: https://www.econbiz.de/10011620636
Persistent link: https://www.econbiz.de/10009746647
Persistent link: https://www.econbiz.de/10009720485
Persistent link: https://www.econbiz.de/10010360497
Persistent link: https://www.econbiz.de/10010239531
Persistent link: https://www.econbiz.de/10010243657
Persistent link: https://www.econbiz.de/10011523847