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Convex Duality with Transaction Costs - MaRDI portal

Convex Duality with Transaction Costs (Q5739151)

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scientific article; zbMATH DE number 6725589
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English
Convex Duality with Transaction Costs
scientific article; zbMATH DE number 6725589

    Statements

    title
    Convex Duality with Transaction Costs (English)
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    author
    Yan Dolinsky
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    Halil Mete Soner
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    publication date
    2 June 2017
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    zbMATH Keywords
    European options
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    model-free hedging
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    semi-static hedging
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    transaction costs
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    conditional full support
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    Identifiers

    zbMATH DE Number
    6725589
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    OpenAlex ID
    W1513971097
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    arXiv ID
    1502.01735
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