Robust pricing and hedging under trading restrictions and the emergence of local martingale models
Alexander M. G. Cox, Zhaoxu Hou, Jan Obłój
| Year of publication: |
July 2016
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|---|---|
| Authors: | Cox, Alexander M. G. ; Hou, Zhaoxu ; Obłój, Jan |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 20.2016, 3, p. 669-704
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| Subject: | Robust pricing and hedging | Financial bubble | Local martingale models | Pricing-hedging duality | Trading restrictions | Short selling constraint | Martingale optimal transport | Hedging | Martingal | Martingale | Optionspreistheorie | Option pricing theory | Spekulationsblase | Bubbles |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-016-0293-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011531314