Robust hedging with proportional transaction costs
Yan Dolinsky; H. Mete Soner
| Year of publication: |
2014
|
|---|---|
| Authors: | Dolinsky, Yan ; Soner, Halil Mete |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 18.2014, 2, p. 327-347
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| Subject: | European options | Robust hedging | Transaction costs | Weak convergence | Consistent price systems | Optimal transport | Fundamental theorem of asset pricing | Superreplication | Transaktionskosten | Hedging | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | CAPM | Portfolio-Management | Portfolio selection | Martingal | Martingale |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010340734