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Large liquidity expansion of super-hedging costs - MaRDI portal

Large liquidity expansion of super-hedging costs (Q3168200)

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English
Large liquidity expansion of super-hedging costs
scientific article

    Statements

    title
    Large liquidity expansion of super-hedging costs (English)
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    author
    Dylan Possamaï
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    Nizar Touzi
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    Halil Mete Soner
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    publication date
    29 October 2012
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    zbMATH Keywords
    super-replication
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    liquidity
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    viscosity solutions
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    asymptotic expansions
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    Identifiers

    DOI
    10.3233/ASY-2011-1089
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    zbMATH DE Number
    6100207
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    arXiv ID
    1208.3785
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    OpenAlex ID
    W3098594662
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