Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions

DOI10.1155/2012/937324zbMath1264.91114OpenAlexW2007023417WikidataQ58912721 ScholiaQ58912721MaRDI QIDQ1955374

E. V. Queiroz Filho, Oswaldo L. V. Costa

Publication date: 11 June 2013

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/937324

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)

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