Explicit solution to the multivariate super-replication problem under transaction costs. (Q1872495)
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scientific article; zbMATH DE number 1906283
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Explicit solution to the multivariate super-replication problem under transaction costs. |
scientific article; zbMATH DE number 1906283 |
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Explicit solution to the multivariate super-replication problem under transaction costs. (English)
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6 May 2003
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transaction costs
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hedging options
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dynamic programming
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viscosity solutions
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