On the Pricing of Contingent Claims with Frictions

DOI10.1111/1467-9965.00083zbMath1074.91524OpenAlexW2105258172MaRDI QIDQ2707136

Hugues Julien, Alain Bensoussan

Publication date: 29 March 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00083

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

European option pricing with market frictions, regime switches and model uncertainty ⋮ Dynamic portfolio selection with nonlinear transaction costs ⋮ Hedging American contingent claims with constrained portfolios under proportional transaction costs

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