Dynamic conic finance : pricing and hedging in market models with transaction costs via dynamic coherent acceptability indices
Tomasz R. Bielecki, Igor Cialenco, Ismail Iyigunler and Rodrigo Rodriguez
| Year of publication: |
2013
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|---|---|
| Authors: | Bielecki, Tomasz R. ; Cialenco, Igor ; Iyigunler, Ismail ; Rodriguez, Rodrigo |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 1, p. 1-36
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| Subject: | Dynamic coherent acceptability index | conic finance | dynamic coherent risk measures | transaction costs | dividend paying securities | swap contracts | no-good-deal bounds | fundamental theorems of asset pricing | dynamic bid and ask | dynamic gain-loss ratio | arbitrage pricing | illiquid market | Transaktionskosten | Transaction costs | Hedging | Portfolio-Management | Portfolio selection | Dividende | Dividend | Börsenkurs | Share price | Arbitrage Pricing | Arbitrage pricing | CAPM | Optionspreistheorie | Option pricing theory | Risikomaß | Risk measure |