Super-replication under proportional transaction costs: From discrete to continuous-time models

DOI10.1007/s001860050099zbMath0942.91049OpenAlexW2078351801MaRDI QIDQ1809500

Nizar Touzi

Publication date: 28 August 2000

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860050099

zbMATH Keywords

dynamic programmingtransaction costsviscosity solutionscontinuous-time limithedging options

Mathematics Subject Classification ID

Economic growth models (91B62)

Related Items (9)

General indifference pricing with small transaction costs ⋮ Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model ⋮ American contingent claims under small proportional transaction costs ⋮ NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS ⋮ Game options with gradual exercise and cancellation under proportional transaction costs ⋮ Options under proportional transaction costs: An algorithmic approach to pricing and hedging ⋮ The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time ⋮ Pricing a European Basket Option in the Presence of Proportional Transaction Costs ⋮ A dynamic version of the super-replication theorem under proportional transaction costs

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