Search Results - subject:"Super-replication theorem"

A note on super-hedging for investor-producers

Huu, Adrien Nguyen - HAL - 2012

We study the situation of an agent who can trade on a financial market and can also transform some assets into others by means of a production system, in order to price and hedge derivatives on produced goods. This framework is motivated by the case of an electricity producer who wants to hedge...

Persistent link: https://www.econbiz.de/10009404634

A model-free version of the fundamental theorem of asset pricing and the super-replication theorem

Acciaio, B.; Beiglböck, M.; Penkner, Friedrich; … - In: Mathematical finance : an international journal of … 26 (2016) 2, pp. 233-251

Persistent link: https://www.econbiz.de/10011577133

The super-replication theorem under proportional transaction costs revisited

Schachermayer, Walter - In: Mathematics and financial economics 8 (2014) 4, pp. 383-398

Persistent link: https://www.econbiz.de/10010490973

A super-replication theorem in Kabanov’s model of transaction costs

Campi, Luciano; Schachermayer, Walter - Université Paris-Dauphine (Paris IX) - 2006

We prove a general version of the super-replication theorem, which applies to Kabanov’s model of foreign exchange … the set of attainable vector-valued contingent claims. We then obtain the super-replication theorem as a consequence of …

Persistent link: https://www.econbiz.de/10011073697

A super-replication theorem in Kabanov’s model of transaction costs.

Campi, Luciano; Schachermayer, Walter - Université Paris-Dauphine - 2006

Persistent link: https://www.econbiz.de/10008790064

A super-replication theorem in Kabanov’s model of transaction costs

Campi, Luciano; Schachermayer, Walter - In: Finance and Stochastics 10 (2006) 4, pp. 579-596

Persistent link: https://www.econbiz.de/10005613417