Model-independent superhedging under portfolio constraints
Arash Fahim, Yu-Jui Huang
| Year of publication: |
January 2016
|
|---|---|
| Authors: | Fahim, Arash ; Huang, Yu-Jui |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 20.2016, 1, p. 51-81
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| Subject: | Model-independent pricing | Robust superhedging | Limit order book | Fundamental theorem of asset pricing | Portfolio constraints | Monge-Kantorovich optimal transport | Theorie | Theory | Portfolio-Management | Portfolio selection | CAPM | Unvollkommener Markt | Incomplete market | Hedging |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-015-0284-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011459952